Christopher C. Wan

Analysis of Singapore's Foreign Exchange Market Microstructure

Examining the relationship between bid-ask spreads and the underlying volatility of the USD/SGD

• Broschiertes Buch

Produktbeschreibung

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.

Produktdetails

• Verlag: LAP Lambert Academic Publishing
• Seitenzahl: 112
• Erscheinungstermin: 20. März 2012
• Englisch
• Abmessung: 220mm x 150mm x 7mm
• Gewicht: 185g
• ISBN-13: 9783848414376
• ISBN-10: 3848414376
• Artikelnr.: 35106207

Autorenporträt

Chris Wan works in the aviation industry but has academic interests in finance and economics. He holds a MSc Economics from Singapore Management University (2011), and a MSc Financial Economics from Queen Mary University of London (2007). He obtained his first degree in Aerospace Engineering at the University of Michigan (1997).