I. IntroductionWith microstructure

I. Introduction
With microstructure theory as its basis, this article examines the market institutional effects of the determining role of trading activities and exchange rate volatility on the intraday behaviour of bid–ask spreads in the electronic brokerage markets using 15-minute frequency trade data derived from the Electronic Broking Service (EBS) for the period from 1 January 2003 to 31 December 2005. Microstructure theory predicts that the quoted bid– ask spreads will vary directly with exchange rate risk. Early empirical studies including Glassman (1987), Boothe (1988), Bollerslev and Domowitz (1993), Bollerslev and Melvin (1994), Bessembinder (1994) and Hartmann (1999) have found the bid–ask spreads tobepositivelycorrelatedwithexchangeratevolatility in the Reuters interdealer quotation markets. Ding (1999) finds evidence of the same relationship existing in futures markets. Goodhart and Payne (1996) have suggested that high volatility has led to traders leaving the Reuters’ D2000-2 electronic brokerage system and entering the interdealer market, resulting in fewer transactions and wider spreads in the D2000-2 markets.

Hasil (Inggris) 2:

I. Introduction
With microstructure theory as its base, this article examines the effects of the institutional market Determining the role of trading activities and exchange rate volatility on the intraday behavior of bid-ask spreads in the electronic brokerage markets, using 15-minute frequency trade data is derived from the Electronic Broking Services (EBS) for the period from 1 January 2003 to 31 December 2005. The microstructure theory Predicts that the quoted bid- ask spreads will vary Directly with exchange rate risk. Early empirical studies Including Glassman (1987), Boothe (1988), Bollerslev and Domowitz (1993), Bollerslev and Melvin (1994), Bessembinder (1994) and Hartmann (1999) have found the bid-ask spreads in the Reuters tobepositivelycorrelatedwithexchangeratevolatility interdealer quotation markets. Ding (1999) finds evidence of the same relationship existing in the futures markets. Goodhart and Payne (1996) have suggested that high volatility has led to traders leaving the Reuters' D2000-2 electronic brokerage system and entering the interdealer market, the resulting in fewer transactions and wider spreads in the D2000-2 markets.