FX Spreads and Dealer Competition Across the 24-Hour Trading Day
研究外汇市场交易商竞争对买卖价差的影响，发现竞争加剧会降低价差，且竞争水平随时间变化、可预测，受地理业务活动影响。
This study examines the impact of competition on bid-ask spreads in the spot foreign exchange market. We measure competition primarily by the number of dealers active in the market and find that bid-ask spreads decrease with an increase in competition, even after controlling for the effects of volatility. The expected level of competition is time varying, highly predictable, and displays a strong seasonal component that in part is induced by geographic concentration of business activity over the 24-hour trading day. Our estimates show that the expected addition of one more competing dealer lowers the average quoted spread by 1.7%