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Faculty Selected Works of Yiuman Tse
Article
Intraday Price Discovery Analysis in the Foreign Exchange Market of an Emerging Economy: Mexico
Research in International Business and Finance (2018)
  • Yiuman Tse, University of Missouri-St. Louis
  • Valeria Martinez, Fairfield University
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Abstract
We analyze intraday price discovery in the spot and futures markets for an emerging economy’s flexible exchange rate: the U.S. dollar–Mexican peso (USD-MXN) rate. The futures and spot markets are cointegrated and significantly driven by the common factor. Both markets rapidly respond to the disequilibrium between markets in a minute. Overall the spot market moderately leads futures in price discovery. We also look at the impact of Mexican government interventions on price discovery and find interventions have a significant impact on price discovery.
Keywords
  • Central bank interventions,
  • Currency,
  • Futures,
  • Price discovery,
  • Quotes,
  • Spot
Disciplines
Publication Date
2018
DOI
10.1016/j.ribaf.2017.07.159
Citation Information
Yiuman Tse and Valeria Martinez. "Intraday Price Discovery Analysis in the Foreign Exchange Market of an Emerging Economy: Mexico" Research in International Business and Finance Vol. 45 (2018) p. 271 - 284
Available at: http://works.bepress.com/yiuman-tse/116/