Treepongkaruna, Sirimon; Brailsford, Tim; Gray, Stephen - In: Australian Journal of Management 39 (2014) 4, pp. 573-591
This paper attempts to uncover the determinants of the dealer bid-ask spread in the foreign exchange market. Prior research has examined the Huang–Masulis model wherein the spread is modelled as a function of dealer competition and volatility. We first extend this model to a much larger...