I. IntroductionWith microstructure

I. Introduction
With microstructure theory as its basis, this article examines the market institutional effects of the determining role of trading activities and exchange rate volatility on the intraday behaviour of bid–ask spreads in the electronic brokerage markets using 15-minute frequency trade data derived from the Electronic Broking Service (EBS) for the period from 1 January 2003 to 31 December 2005. Microstructure theory predicts that the quoted bid– ask spreads will vary directly with exchange rate risk. Early empirical studies including Glassman (1987), Boothe (1988), Bollerslev and Domowitz (1993), Bollerslev and Melvin (1994), Bessembinder (1994) and Hartmann (1999) have found the bid–ask spreads tobepositivelycorrelatedwithexchangeratevolatility in the Reuters interdealer quotation markets. Ding (1999) finds evidence of the same relationship existing in futures markets. Goodhart and Payne (1996) have suggested that high volatility has led to traders leaving the Reuters’ D2000-2 electronic brokerage system and entering the interdealer market, resulting in fewer transactions and wider spreads in the D2000-2 markets.

Hasil (Bahasa Indonesia) 2:

I. Pendahuluan
Dengan teori mikro sebagai dasar, artikel ini membahas pasar efek kelembagaan peran menentukan kegiatan perdagangan dan volatilitas nilai tukar pada perilaku intraday dari bid-ask spread di pasar broker elektronik menggunakan data perdagangan frekuensi 15 menit yang berasal dari Hak Guna Bangunan Elektronik (EBS) untuk periode 1 Januari 2003 sampai 31 Desember 2005. Teori Mikro memprediksi bahwa dikutip bid- ask spread akan bervariasi secara langsung dengan risiko nilai tukar. Studi empiris awal termasuk Glassman (1987), Boothe (1988), Bollerslev dan Domowitz (1993), Bollerslev dan Melvin (1994), Bessembinder (1994) dan Hartmann (1999) telah menemukan bid-ask spread tobepositivelycorrelatedwithexchangeratevolatility di Reuters interdealer kutipan pasar. Ding (1999) menemukan bukti hubungan yang sama yang ada di pasar berjangka. Goodhart dan Payne (1996) menunjukkan bahwa volatilitas yang tinggi telah menyebabkan para pedagang meninggalkan D2000-2 sistem broker elektronik Reuters dan memasuki pasar interdealer, sehingga transaksi yang lebih sedikit dan menyebar luas di pasar D2000-2.