Informational Efficiency of Prices in the Electronic Trading of Spot Fx Markets(3/3)

This project studies three issues on pricing efficiency in the spot foreign exchange (FX)market in three years. We use the data from the Electronic Broking Services (EBS), whichserves as a major electronic broker in the spot FX trading. In the first year, the sub-projectuses the approach by Hasbrouck (1991b) to investigate, over the 24-hour trading, the pricingefficiency across four sequential geographic time-zones: Asian, Europe, Europe-U.S.overlapping, and U.S. markets. In the second year, the sub-project further investigates therelationship between liquidity and pricing efficiency. Finally, in the third year, the theme ofthe sub-project is the impact of high-frequency trading on the informational efficiency ofprices in the EBS platform.