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Intra-Day Seasonality in Activities of the Foreign Exchange Markets : Evidence From the Electronic Broking System

Author: Takatoshi Itō; Yuko Hashimoto
Publisher: Cambridge, Mass. National Bureau of Economic Research 2006.
Series: Working paper series (National Bureau of Economic Research), no. w12413.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot foreign exchange markets. The U-shape of intra-day activities (deals and price changes) and return volatility is confirmed for Tokyo and London participants, but not for New York participants. Activities and volatility do  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Takatoshi Itō; Yuko Hashimoto
OCLC Number: 1027370389
Notes: August 2006.
Description: 1 online resource.
Details: Mode of access: World Wide Web.
Series Title: Working paper series (National Bureau of Economic Research), no. w12413.
Responsibility: Takatoshi Ito, Yuko Hashimoto.

Abstract:

This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot foreign exchange markets. The U-shape of intra-day activities (deals and price changes) and return volatility is confirmed for Tokyo and London participants, but not for New York participants. Activities and volatility do not increase toward the end of business hours in the New York market, even on Fridays (ahead of weekend hours of non-trading). It is found that there exists a high positive correlation between volatility and activities and a negative correlation between volatility and the bid-ask spread. A negative correlation is observed between the number of deals and the width of bid-ask spread during business hours.

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