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/10197/2731
Date: Apr-2010
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: Science Foundation Ireland
Type of material: Journal Article
Publisher: Elsevier
Copyright (published version): 2009 Elsevier Inc.
Keywords: Limit orders;Market orders;Seasonality
Subject LCSH: International finance
Foreign exchange market--Seasonal variations
Seasonal variations (Economics)
DOI: 10.1016/j.iref.2009.08.003
Language: en
Status of Item: Peer reviewed
Appears in Collections:FMC² Research Collection

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