Some tests of market microstructure hypotheses in the foreign exchange market

Chionis, D. and MacDonald, R. (1997) Some tests of market microstructure hypotheses in the foreign exchange market. Journal of Multinational Financial Management, 7(3), pp. 203-229. (doi:10.1016/S1042-444X(97)00015-7)

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Abstract

In this paper we examine a number of hypotheses stemming from the market microstructure literature. In particular, we use a disaggregate survey data base, consisting of the foreign exchange expectations of over 150 forecasters, to construct both aggregate and disaggregate measures of dispersion. These measures are then used to examine the relationship between volatility, volume and heterogeneity. GARCH modelling techniques are also employed to test a set of hypotheses relating to the conditional volatility of exchange rate returns. The tenor of the results contained in this paper may be interpreted as supportive of the usefulness of market microstructure concepts in analysing foreign exchange markets.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: Chionis, D., and MacDonald, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of Multinational Financial Management
Publisher:Elsevier
ISSN:1042-444X
ISSN (Online):1873-1309

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