Njkbkj Composition

BIS OPERATING PAPERS No 93 – October 2k

TRADING VOLUMES OF PRINTS, VOLATILITY AND SPREADS IN FOREIGN EXCHANGE MARKET SEGMENTS: EVIDENCE FROM EMERGING MARKETPLACE COUNTRIES

by

Gabriele Galati

BANK TO GET INTERNATIONAL SETTLEMENTS Monetary and Economic Department Basel, Swiss

BIS Operating Papers happen to be written by associates of the Financial and Financial Department from the Bank pertaining to International Pay outs, and occasionally by other economists, and are also published by the Bank. The papers are recorded subjects of topical interest and are technological in figure. The opinions expressed in them are those of their creators and not automatically the landscapes of the BIS.

Copies of publications can be obtained from: Financial institution for International Settlements Details, Press & Library Solutions CH-4002 Basel, Switzerland Fernkopie: +41 sixty one / 280 91 00 and +41 61 / 280 81 00 This publication exists on the BIS website (www.bis.org). © Financial institution for International Settlements 2000. All legal rights reserved. Brief excerpts could possibly be reproduced or translated provided the source is definitely stated. ISSN 1020-0959

BIS HIN ZU WORKING PAPERWORK No 93 – Oct 2000

TRADING VOLUMES, VOLATILITY AND SPREADS IN FOREIGN EXCHANGE MARKETS: FACTS FROM RISING MARKET COUNTRIES

by

Gabriele Galati*

Abstract This conventional paper provides scientific evidence on the relationship among trading quantities, volatility and bid-ask spreads in forex markets. By using a new data set that includes daily info on trading volumes pertaining to the dollar exchange costs of eight currencies via emerging marketplace countries. The sample period is you January 98 to 35 June 99. The results are broadly like findings in the literature that used futures volumes because proxies for total forex trading. I realize that in most cases unexpected trading volumes of prints and unpredictability are favorably correlated, indicating that the two are driven by arrival of public information, since predicted by the mixture of distributions hypothesis. My spouse and i also find that the correlation between trading volumes and volatility is positive during " normal” periods although turns unfavorable when movements increases dramatically. Finally, the results suggest that volatility and spreads are positively correlated, as advised by products on hand cost designs. However , from the prediction of these models, I actually do not locate evidence of an important impact of unexpected trading volumes on spreads.

* I give thanks to Javiera Aguilar, Claudio Borio, Alain Chaboud, Stefan Gerlach, Bob McCauley, Eli Remolona and Kostas Tsatsaronis pertaining to helpful comments and Florence Béranger and Anna Cobau for study assistance.

Material

1 .

Advantages...................................................................................................................

1

2 .

Literature assessment...........................................................................................................

2

several.

The data......................................................................................................................... Exchange rates.................................................................................................... Movements............................................................................................................. Trading volumes................................................................................................. Spreads................................................................................................................

five 5 6 7 on the lookout for

4.

Volumes of prints, volatility and spreads.................................................................................... twelve Trading volumes and movements........................................................................... 10 Trading volumes and bid-ask propagates................................................................. 13

your five.

Conclusions...



Interesting Information about Me Composition

Related

Category

News