This paper examines the impact of electronic trading systems on the bid-ask spreads in the foreign exchange market. The paper finds: First, both the Reuters system and EBS reduce spreads significantly; Second, the EBS is more influential than the Reuters system for the currency pair DEM/USD;...

This paper examines the impact of electronic trading systems on the bid-ask spreads in the foreign exchange market. The paper finds: first, the EBS reduces spreads significantly; second, the EBS is more influential than the Reuters system for the currency pair DEM/USD; third, dealers with...

This paper examines the forward premium puzzle based on 1-week forward rates across weekdays. The paper finds that Thursday consistently appears to be a special day on which the puzzle disappears, while it is present on other weekdays. In addition to Thursday, Monday is also found to be a...

This paper examines the forward premium puzzle based on the most recent data for different horizons. The paper finds that the well-known puzzle disappears in short horizons, such as one day, but continues to exist in medium horizons such as one week or one month. This finding is proved to be...

Many studies have shown that the correlation of stock portfolio returns is higher during market downturns, while very few of them offer an explanation for the causes of such an asymmetry. This article examines potential fundamental causes for the phenomenon. We find that such an asymmetry is...