Analysis of Singapore's Foreign Exchange Market Microstructure

Analysis of Singapore's Foreign Exchange Market Microstructure


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  • Product Description
We analyse the Singapore foreign exchange market from a microstructure approach. Specifically, by modifying and applying the empirical methodology designed by Bollerslev and Melvin (1994), we examine the relationship between bid-ask spreads and the underlying volatility of the USD/SGD. Our data set comprises high-frequency USD/SGD tick data of three separate periods (April-June 1989, April-May 2006, April-May 2009). We found that for the USD/SGD: i) the size of bid-ask spreads are positively related to the underlying exchange rate volatility; ii) the magnitude of the dependence on underlying volatility increases as tick volume increases; and iii) the size of the bid-ask spreads may also be positively related to the directional movement of exchange rates. This book is originally a thesis submitted by the author to the Singapore Management University School of Economics in partial fulfillment of the requirements for the Degree of Master of Science in Economics.
Product Specifications
SKU :COC13716
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-24
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