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Intra-day seasonality in foreign exchange market transactions
Author(s)
Date Issued
2007-05-18
Date Available
2009-06-09T15:19:40Z
Abstract
This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing
2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return volatilities under usual market conditions. Moreover, analysis of realised tail outcomes supports seasonality for extraordinary market conditions across the trading day.
2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return volatilities under usual market conditions. Moreover, analysis of realised tail outcomes supports seasonality for extraordinary market conditions across the trading day.
Sponsorship
University College Dublin. School of Business
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
University College Dublin. School of Business
Series
Centre for Financial Markets working paper series
WP-07-12
UCD Business Schools Working Paper Series
WP08/16
Copyright (Published Version)
2007, Centre for Financial Markets
Classification
G1
G15
G32
Subject – LCSH
International finance
Foreign exchange market--Seasonal variations
Seasonal variations (Economics)
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
File(s)
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Name
WP-07-12.pdf
Size
107.1 KB
Format
Adobe PDF
Checksum (MD5)
cbdb3f8663f857c3a3c0f9e03f5d6a89
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