A profile of the NZ dollar foreign exchange market
In this article we review developments in the NZD/USD market between January 2001 and March 2006 using a new and detailed dataset from Reuters. Given the traditionally opaque nature of the global FX market, the dataset provides some insights into the NZD/USD market that have previously been unavailable. We show that trading volumes and other measures of market activity, like the depth of the limit order book, have increased significantly since 2001. We also show that market activity changes at different times of the trading day, with considerably more trading volumes taking place in London and New York.