We study the relation between foreign exchange market quality and both trading activity and dealer concentration by considering two currency pairs with significant differences along both dimensions – the Euro-US dollar and Canadian dollar – US dollar. A variance ratio test reveals...

We assess the impact of safe haven flows on market liquidity by examining the bid-ask spread in the Euro-U.S. dollar spot and forward markets around Y2K. In the months preceding December 1999, it was widely believed that the U.S. was the best prepared for Y2K and funds would flow into U.S....