Intra-Day Seasonality in Foreign Exchange Market Transactions

John Cotter and Kevin Dowd ()

MPRA Paper from University Library of Munich, Germany

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.

JEL-codes: G1 G15 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ets, nep-ifn, nep-mst and nep-rmg
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https://mpra.ub.uni-muenchen.de/3502/1/MPRA_paper_3502.pdf original version (application/pdf)

Related works:
Working Paper: Intra-Day Seasonality in Foreign Exchange Market Transactions (2011)
Journal Article: Intra-day seasonality in foreign exchange market transactions (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3502

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