V. ConclusionsIn this article, we i

V. Conclusions
In this article, we investigate the market institutional effects of the way in which trading activities and exchange rate volatility affect the intraday behaviour of the bid–ask spreads in the EBS electronic brokerage market. We use EBS data covering the period from 1 January 2003 to 31 December 2005 to estimate the effects of market institutions on the determinants of the 15-minute JPY/USD exchange rate bid–ask spreads within the sophisticated framework of the P-GARCH model. The estimated results indicate that the bid–ask spreads of the JPY/USD exchange rate are high at all Tokyo, London and New York market opening, lunch and closing times, and are particularly wide in the Tokyo and London market openings. There also exists a U-shaped pattern of spreads in the Tokyo trading hours which is similar to Ito and Hashimoto’s (2006) result. However, we find an inverted U-shaped pattern of spreads in the London trading hours. This is not consistent with the findings of the U-shaped pattern in the London trading times in Danielsson and Payne (2002) and Ito and Hashimoto (2006). We cannot find any statistically significant U-shaped pattern of spreads in the North American trading times as was the case in Danielsson and Payne (2002). We further investigate the intraday pattern of the volatility of spreads. The bid–ask spreads become volatile in almost all market openings and closings and reach their highest level at the New York market open. This fact reveals an inverted U-shaped round clock pattern of the volatility of spreads. This inverted U-shaped pattern may be caused by the same inverted U-shaped pattern of unexpected news arrivals. In addition, we find that the exchange rate volatility positively moves the bid–ask spreads, and that the number of deals and quotation changes significantly and negatively affect the bid–ask spreads. While these results are similar to those of earlier studies, they do not completely corroborate the findings of Ito and Hashimoto (2004, 2006). Hence, we may conclude that the spread behaviour is no different in the EBS electronic brokerage market from other global electronic broking markets and interdealer trading markets.

Hasil (Bahasa Indonesia) 1:

V. kesimpulanIn this article, we investigate the market institutional effects of the way in which trading activities and exchange rate volatility affect the intraday behaviour of the bid–ask spreads in the EBS electronic brokerage market. We use EBS data covering the period from 1 January 2003 to 31 December 2005 to estimate the effects of market institutions on the determinants of the 15-minute JPY/USD exchange rate bid–ask spreads within the sophisticated framework of the P-GARCH model. The estimated results indicate that the bid–ask spreads of the JPY/USD exchange rate are high at all Tokyo, London and New York market opening, lunch and closing times, and are particularly wide in the Tokyo and London market openings. There also exists a U-shaped pattern of spreads in the Tokyo trading hours which is similar to Ito and Hashimoto’s (2006) result. However, we find an inverted U-shaped pattern of spreads in the London trading hours. This is not consistent with the findings of the U-shaped pattern in the London trading times in Danielsson and Payne (2002) and Ito and Hashimoto (2006). We cannot find any statistically significant U-shaped pattern of spreads in the North American trading times as was the case in Danielsson and Payne (2002). We further investigate the intraday pattern of the volatility of spreads. The bid–ask spreads become volatile in almost all market openings and closings and reach their highest level at the New York market open. This fact reveals an inverted U-shaped round clock pattern of the volatility of spreads. This inverted U-shaped pattern may be caused by the same inverted U-shaped pattern of unexpected news arrivals. In addition, we find that the exchange rate volatility positively moves the bid–ask spreads, and that the number of deals and quotation changes significantly and negatively affect the bid–ask spreads. While these results are similar to those of earlier studies, they do not completely corroborate the findings of Ito and Hashimoto (2004, 2006). Hence, we may conclude that the spread behaviour is no different in the EBS electronic brokerage market from other global electronic broking markets and interdealer trading markets.

Hasil (Bahasa Indonesia) 2:

V. Kesimpulan
Pada artikel ini, kita menyelidiki pasar efek kelembagaan cara di mana kegiatan perdagangan dan volatilitas nilai tukar mempengaruhi perilaku intraday dari bid-ask spread di EBS pasar broker elektronik. Kami menggunakan data EBS yang mencakup periode dari 1 Januari 2003 sampai dengan 31 Desember 2005 memperkirakan efek dari lembaga pasar pada faktor-faktor penentu nilai tukar JPY / USD 15 menit bid-ask spread dalam kerangka canggih model P-GARCH. Hasil estimasi menunjukkan bahwa spread bid-ask dari JPY / nilai tukar USD tinggi sekali Tokyo, London dan New York pembukaan pasar, makan siang dan penutupan kali, dan sangat luas di pembukaan pasar Tokyo dan London. Ada juga ada pola berbentuk U spread dalam jam perdagangan Tokyo yang mirip dengan (2006) hasil Ito dan Hashimoto. Namun, kami menemukan pola berbentuk U terbalik spread dalam jam perdagangan London. Hal ini tidak konsisten dengan temuan pola berbentuk U dalam perdagangan kali London di Danielsson dan Payne (2002) dan Ito dan Hashimoto (2006). Kami tidak dapat menemukan pola berbentuk U signifikan secara statistik dari spread di waktu perdagangan Amerika Utara seperti yang terjadi di Danielsson dan Payne (2002). Kami menyelidiki lebih lanjut pola intraday dari volatilitas menyebar. The bid-ask spread menjadi stabil di hampir semua bukaan pasar dan penutupan dan mencapai level tertinggi di pasar New York terbuka. Fakta ini mengungkapkan U-berbentuk pola jam putaran terbalik dari volatilitas menyebar. Pola ini berbentuk U terbalik dapat disebabkan oleh pola inverted U-berbentuk sama kedatangan berita tak terduga. Selain itu, kami menemukan bahwa volatilitas nilai tukar positif bergerak menyebar bid-ask, dan bahwa jumlah penawaran dan perubahan kutipan signifikan dan berpengaruh negatif terhadap bid-ask spread. Sementara hasil ini mirip dengan studi sebelumnya, mereka tidak benar-benar menguatkan temuan Ito dan Hashimoto (2004, 2006). Oleh karena itu, kita dapat menyimpulkan bahwa perilaku penyebaran tidak berbeda di pasar broker elektronik EBS dari pasar pialang global lainnya elektronik dan pasar perdagangan interdealer.