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Price Leadership in the Spot Foreign Exchange Market

Published online by Cambridge University Press:  06 April 2009

Stephen G. Sapp
Stephen G. Sapp
Affiliation:
[email protected], Richard Ivey School of Business, University of Western Ontario, London, Ontario N6A 3K7, Canada.
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Abstract

This study empirically investigates how new information is incorporated into intra-daily DM-$US quotes, and finds evidence that certain dealers consistently incorporate new information into their quotes before others and that their behavior is influenced by market conditions. In general, Chemical Bank's quotes are the first to contain new information. However, in the periods of uncertainty around central bank interventions, evidence suggests Deutsche Bank is the price leader and its quotes are influenced by information and inventory considerations.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 37 , Issue 3 , September 2002 , pp. 425 - 448
Copyright
Copyright © School of Business Administration, University of Washington 2002

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