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

Takatoshi Ito () and Yuko Hashimoto

No 12413, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: F31 F33 G15 (search for similar items in EconPapers)
Date: 2006-08
New Economics Papers: this item is included in nep-cba, nep-ets, nep-fin, nep-fmk, nep-ict, nep-ifn and nep-mst
Note: IFM
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Citations: View citations in EconPapers (52)

Published as Ito, Takatoshi & Hashimoto, Yuko, 2006. "Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system," Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 637-664, December.

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