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
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Date: Apr-2010
Online since: 2011-01-19T16:59:42Z
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
Journal: International Review of Economics and Finance
Volume: 19
Issue: 2
Start page: 287
End page: 294
Copyright (published version): 2009 Elsevier Inc.
Keywords: Limit ordersMarket ordersSeasonality
Subject LCSH: International finance
Foreign exchange market--Seasonal variations
Seasonal variations (Economics)
DOI: 10.1016/j.iref.2009.08.003
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Language: en
Status of Item: Peer reviewed
Appears in Collections:FMC² Research Collection

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