Intra-Day Seasonality in Foreign Market Transactions

John Cotter and Kevin Dowd
Additional contact information
Kevin Dowd: The University of Nottingham, UK

No 200744, Working Papers from Geary Institute, University College Dublin

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.

Keywords: limit orders; market orders; seasonality (search for similar items in EconPapers)
JEL-codes: G1 G15 G32 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2011-06-24
New Economics Papers: this item is included in nep-mst
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Related works:
Working Paper: Intra-Day Seasonality in Foreign Market Transactions (2011)
Working Paper: Intra-Day Seasonality in Foreign Market Transactions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:2007/44

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