Journal of Finance and Investment Analysis

The Moroccan Foreign Exchange Market and the Dynamics of the Bid-ask Spread of the USD/MAD Quotes

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• Abstract

  Our aim in this paper is to model the bid-ask spread resulted from the quotes of USD/MAD by the Moroccan central bank, which is the reference on the Moroccan foreign exchange market. In this respect, we discussed the microstructure of the Moroccan foreign exchange market, which is of primary importance for the analysis of the high frequency fluctuations of exchange rate. Two results of this study worth to be highlighted. The high degree of centralization of the Moroccan Forex market and the very high speed by which the current bid-ask spread reverts to its statistical long-run level.