Journal of Banking & Finance Vol. 87 2018
Forex trading and the WMR Fix
open access
Abstract
I examine the behavior of forex prices around the setting of the 4:00 pm WMR Fix. Numerous banks have been fined by regulators for their trading activities around the Fix, but the overall impact of their actions is not known. I first examine trading patterns around the Fix in a microstructure model of competitive trading. I then compare the model with the empirical behavior of forex prices across 21 currencies over a decade. Contrary to the predictions of the model, forex price changes display extraordinary volatility and negative serial correlation around the Fix.
- DOI
- 10.1016/j.jbankfin.2017.09.017
- Volume
- 87
- Pages
- 233-247
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib