A first step in the 'big bang' markets was the deregulation of the foreign exchange market on April 1, 1998. This paper … volatility, the deregulation was associated with a convergence of Japanese quoted spreads toward those of other banks. (2 …) Modeling the persistence in volatility reveals that deregulation lowered conditional volatility …

A first step in the 'big bang' markets was the deregulation of the foreign exchange market on April 1, 1998. This paper … volatility, the deregulation was associated with a convergence of Japanese quoted spreads toward those of other banks. (2 …) Modeling the persistence in volatility reveals that deregulation lowered conditional volatility …

We study the relationship between foreign exchange trading activity and volatility on the USD/EUR foreign exchange … market on the basis of a unique data set around the events of 09/11/2001. We find that volatility and bid-ask spreads are by … far larger at that time, but the shock is not persistent. The positive correlation between volume and volatility does not …

The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables … characteristics of market participants appear to trump macroeconomic considerations. The volatility indices and bid-ask spreads were … exchange rates. The forex returns, bid-ask spread, and volatility indices demonstrated less vulnerability towards Chinese …