TY  - JOUR
AU  - Cheung,Yin-Wong
AU  - Chinn,Menzie D.
TI  - Traders, Market Microstructure and Exchange Rate Dynamics
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7416
PY  - 1999
Y2  - November 1999
UR  - http://www.nber.org/papers/w7416
L1  - http://www.nber.org/papers/w7416.pdf
N1  - Author contact info:
Yin-Wong Cheung
Department of Economics
University of California
Santa Cruz, CA  95064
E-Mail: cheung@ucsc.edu

Menzie D. Chinn
Dept. of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706
Tel: 608/262-7397
Fax: 608/262-2033
E-Mail: mchinn@lafollette.wisc.edu
AB  - We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) The share of customer business, versus interbank business, has remained fairly constant; (ii) The channels by which transactions take place have changed, as electronically-brokered transactions have risen from 2% to 46% of total, mostly at the expense of transactions undertaken by traditional brokers; (iii) The single most widely- cited reason for deviating from the standard market convention on the bid-ask spread is a thin/hectic market; (iv) Half or more of market respondents believe that large players dominate in the dollar-pound and dollar-Swiss franc markets; and (v) 60% of respondents believe there is low predictability of exchange rates intraday. Even at medium and long run horizons, only a third of traders believe that there is high predictability.
ER  -