Intra-day seasonality in activities of the foreign exchange markets
Subtitle: evidence from the electronic broking system
By: Takatoshi Ito, Yuko Hashimoto
Contributors: Hashimoto, Yuko; National Bureau of Economic Research
Series: NBER working paper series -- working paper 12413; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12413.
Publisher: National Bureau of Economic Research
Published: 2006
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] :
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 8/16/2006.

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