Intra-day seasonality in foreign exchange market transactions

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Title: Intra-day seasonality in foreign exchange market transactions
Authors: Cotter, John
Dowd, Kevin
Permanent link: http://hdl.handle.net/10197/1161
Date: 18-May-2007
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.
Funding Details: 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
Copyright (published version): 2007, Centre for Financial Markets
Keywords: Limit orders;Market orders;Seasonality
Subject LCSH: International finance
Foreign exchange market--Seasonal variations
Seasonal variations (Economics)
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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