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Foreign exchange bid-ask spreads and the market price of social unrest.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Foreign exchange bid-ask spreads and the market price of social unrest./
作者:	Tan, Kok-Hui.
面頁冊數:	1 online resource (78 pages)
附註:	Source: Dissertations Abstracts International, Volume: 53-04, Section: A.
Contained By:	Dissertations Abstracts International53-04A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9134896click for full text (PQDT)
ISBN:	9798207470108

Foreign exchange bid-ask spreads and the market price of social unrest.
Tan, Kok-Hui.

Foreign exchange bid-ask spreads and the market price of social unrest. - 1 online resource (78 pages)

Source: Dissertations Abstracts International, Volume: 53-04, Section: A.

Thesis (Ph.D.)--Arizona State University, 1991.

Includes bibliographical references

The purpose of this dissertation is to provide evidence that posted bid-ask spreads in the foreign exchange market change with respect to changes in county risk due to social or political unrest. A microstructure model of information asymmetry in the foreign exchange market is developed and shows that dealers adjust the bid-ask spread to reduce their expected losses to informed traders who have superior information of political unrest than the rest of the market. The empirical tests examine both time series changes in the spread for the Hong Kong dollar and the South African rand--two countries that have been subjected to easily identified events--as well as cross section differences in the spread across a mix of industrial and developing country currencies. The time-series evidence indicates that social unrest like riots, demonstrations, strikes, armed attacks, and related deaths lead to an increase of exchange rate volatility which, in turn, causes the spread to widen. Consistent with the time-series evidence, the cross-county study shows that currencies with greater perceived amount of country risk have a greater spread. Both studies provide a quantitative measure of market price of social unrest that reflects on the bid-ask spread in the foreign exchange market.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9798207470108Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Hong KongIndex Terms--Genre/Form:

542853
Electronic books.

Foreign exchange bid-ask spreads and the market price of social unrest.
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500 $a Source: Dissertations Abstracts International, Volume: 53-04, Section: A.
500 $a Publisher info.: Dissertation/Thesis.
502 $a Thesis (Ph.D.)--Arizona State University, 1991.
504 $a Includes bibliographical references
520 $a The purpose of this dissertation is to provide evidence that posted bid-ask spreads in the foreign exchange market change with respect to changes in county risk due to social or political unrest. A microstructure model of information asymmetry in the foreign exchange market is developed and shows that dealers adjust the bid-ask spread to reduce their expected losses to informed traders who have superior information of political unrest than the rest of the market. The empirical tests examine both time series changes in the spread for the Hong Kong dollar and the South African rand--two countries that have been subjected to easily identified events--as well as cross section differences in the spread across a mix of industrial and developing country currencies. The time-series evidence indicates that social unrest like riots, demonstrations, strikes, armed attacks, and related deaths lead to an increase of exchange rate volatility which, in turn, causes the spread to widen. Consistent with the time-series evidence, the cross-county study shows that currencies with greater perceived amount of country risk have a greater spread. Both studies provide a quantitative measure of market price of social unrest that reflects on the bid-ask spread in the foreign exchange market.
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