Publication Type
Master Thesis
Version
publishedVersion
Publication Date
2011
Abstract
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.
Keywords
Singapore, market microstructure, ordered probit, foreign exchange, ordered response model, ordered logit
Degree Awarded
MSc in Economics
Discipline
Asian Studies | Finance | Public Economics
Supervisor(s)
TSE, Yiu Kuen
Publisher
Singapore Management University
City or Country
Singapore
Citation
WAN, Chee Wai.
Analysis of Singapore's Foreign Exchange Market Microstructure. (2011).
Available at: https://ink.library.smu.edu.sg/etd_coll/75
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Included in
Asian Studies Commons, Finance Commons, Public Economics Commons