This paper studies intraday market quality for currency pairs with very different trading characteristics, the Euro-U.S. dollar and the Canadian dollar-U.S. dollar. Two sets of tests - the first based on the ratio of long term to short term variances, and the second based on information...

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 over-reaction in...

This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price...