Analysis of Singapore's Foreign Exchange Market Microstructure
Author | : Christopher Chee Wai Wan |
Publisher | : LAP Lambert Academic Publishing |
Total Pages | : 184 |
Release | : 2012-03 |
ISBN-10 | : 3848414376 |
ISBN-13 | : 9783848414376 |
Rating | : 4/5 (376 Downloads) |
Download or read book Analysis of Singapore's Foreign Exchange Market Microstructure written by Christopher Chee Wai Wan and published by LAP Lambert Academic Publishing. This book was released on 2012-03 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.