Foreign exchange market microstructure and the WM/Reuters 4 pm fix
A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes place. The currently most popular FX fix is the World Market Reuters (WM/R) 4 pm fix. Execution at the WM/R 4 pm fix is a s...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2016-03-01
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| Series: | Journal of Finance and Data Science |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918816300010 |
| _version_ | 1797203216169959424 |
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| author | P.S. Michelberger J.H. Witte |
| author_facet | P.S. Michelberger J.H. Witte |
| author_sort | P.S. Michelberger |
| collection | DOAJ |
| description | A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes place. The currently most popular FX fix is the World Market Reuters (WM/R) 4 pm fix. Execution at the WM/R 4 pm fix is a service offered by FX brokers (normally banks), who deliver execution at the fix provided they obtain the trade order ahead of time. In this paper, we study the market microstructure around 4 pm. We demonstrate that market dynamics can be distinguished from other times during the day through increased volatility and size of movements. Our findings question the aggregate benefit to the client base of using the WM/R 4 pm fix in its current form. |
| first_indexed | 2024-04-24T08:15:48Z |
| format | Article |
| id | doaj.art-2bfe1e647b8340ba8f304dd9b0d60b31 |
| institution | Directory Open Access Journal |
| issn | 2405-9188 |
| language | English |
| last_indexed | 2024-04-24T08:15:48Z |
| publishDate | 2016-03-01 |
| publisher | KeAi Communications Co., Ltd. |
| record_format | Article |
| series | Journal of Finance and Data Science |
| spelling | doaj.art-2bfe1e647b8340ba8f304dd9b0d60b312024-04-17T03:48:49ZengKeAi Communications Co., Ltd.Journal of Finance and Data Science2405-91882016-03-0121264110.1016/j.jfds.2016.01.002Foreign exchange market microstructure and the WM/Reuters 4 pm fixP.S. MichelbergerJ.H. WitteA market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes place. The currently most popular FX fix is the World Market Reuters (WM/R) 4 pm fix. Execution at the WM/R 4 pm fix is a service offered by FX brokers (normally banks), who deliver execution at the fix provided they obtain the trade order ahead of time. In this paper, we study the market microstructure around 4 pm. We demonstrate that market dynamics can be distinguished from other times during the day through increased volatility and size of movements. Our findings question the aggregate benefit to the client base of using the WM/R 4 pm fix in its current form.http://www.sciencedirect.com/science/article/pii/S2405918816300010FinanceFinancial marketsForeign exchange marketsMarket microstructureBehavioural financeExchange rate benchmarksFX executionMarket manipulationWM/Reuters 4 pm fixFX market microstructure |
| spellingShingle | P.S. Michelberger J.H. Witte Foreign exchange market microstructure and the WM/Reuters 4 pm fix Journal of Finance and Data Science Finance Financial markets Foreign exchange markets Market microstructure Behavioural finance Exchange rate benchmarks FX execution Market manipulation WM/Reuters 4 pm fix FX market microstructure |
| title | Foreign exchange market microstructure and the WM/Reuters 4 pm fix |
| title_full | Foreign exchange market microstructure and the WM/Reuters 4 pm fix |
| title_fullStr | Foreign exchange market microstructure and the WM/Reuters 4 pm fix |
| title_full_unstemmed | Foreign exchange market microstructure and the WM/Reuters 4 pm fix |
| title_short | Foreign exchange market microstructure and the WM/Reuters 4 pm fix |
| title_sort | foreign exchange market microstructure and the wm reuters 4 pm fix |
| topic | Finance Financial markets Foreign exchange markets Market microstructure Behavioural finance Exchange rate benchmarks FX execution Market manipulation WM/Reuters 4 pm fix FX market microstructure |
| url | http://www.sciencedirect.com/science/article/pii/S2405918816300010 |
| work_keys_str_mv | AT psmichelberger foreignexchangemarketmicrostructureandthewmreuters4pmfix AT jhwitte foreignexchangemarketmicrostructureandthewmreuters4pmfix |