Analysis of Singapore's Foreign Exchange Market Microstructure

Analysis of Singapore's Foreign Exchange Market Microstructure
ISBN-10
3848414376
ISBN-13
9783848414376
Category
Foreign exchange market
Pages
184
Language
English
Published
2012-03
Publisher
LAP Lambert Academic Publishing
Author
Christopher Chee Wai Wan

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.

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