Tests of Microstructural Hypotheses in the Foreign Exchange Market
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This paper introduces a three-part transactions dataset to test various microstructural hypotheses about the spot foreign exchange market. In particular, we test for effects of trading volume on quoted prices through the two channels stressed in the literature: the information channel and the
本文介绍了一套由三部分组成的交易数据集，用于检验针对现货外汇市场的各类市场微观结构假说。具体而言，本文通过文献中重点强调的两大渠道，检验交易量对报价的影响：信息渠道与
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美国国家经济研究局创建时间：
1993-09-01
