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E3 Journal of Business Management and Economics

E3 Journal of Business Management and Economics Vol. 4 (12) pp. 267-275, December 2013; © E3 Journals; ISSN 2141-7482

Bid-ask spread, order size and volatility in the foreign exchange market: an empirical investigation

Saida Gtifa1 * , Naoufel LIOUANE2
1 University of Science Economic and Management of Tunisia
2 High Institute of Finance and Taxation, University of Sousse, Tunisia
*Corresponding Author E-mail: gtifasaida@yahoo.fr
Accepted 18 November 2013

Abstract

This paper provides empirical evidence on the relationship between order size, volatility and spread in the foreign exchange market based on a FX dealerʼs quotes. It uses a new data set that includes intra-daily data on trading volumes. The results are broadly consistent with the findings of the literature. It is found that spreads are independent of order size in both markets for the tow currencies.

Keywords: Bid-ask spread; trading volume; foreign exchange market.

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