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Dissertation/Thesis Abstract

Analysis of Singapore's foreign exchange market microstructure
by Wan, Chee Wai, M.Sc., Singapore Management University (Singapore), 2011, 102; 1501950
Abstract (Summary)

This paper analyses the Singapore foreign exchange market from a microstructure approach. Specifically, by applying and modifying 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 years (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.

Indexing (document details)
Advisor: Tse, Yiu Kuen
Commitee: Hoon, Hian Teck, Tay, Anthony
School: Singapore Management University (Singapore)
Department: School of Economics
School Location: Republic of Singapore
Source: MAI 50/03M, Masters Abstracts International
Subjects: Economics, Banking
Keywords: Foreign exchange, Market microstructure, Ordered logit, Ordered probit, Ordered response model, Singapore
Publication Number: 1501950
ISBN: 978-1-124-99639-4
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