Day-of-the-week trading patterns of informed and uninformed traders in Taiwan's foreign exchange market

Tai-Wei Zhang, Horace Chueh and Yao Hua Hsu

Economic Modelling, 2015, vol. 47, issue C, 271-279

Abstract: This study investigates the extent of the effects of public-information announcements on informed trading in Taiwan's FX market. We assert that the trading behavior of informed and uninformed traders will be affected when public information is released. We test this assertion empirically by analyzing the relation between daily volume and first-order return autocorrelation in the Taiwan FX market. We find that a high degree of uninformed trading occurs on Mondays and Thursdays, coinciding with the days that most of the relevant information is released. The empirical results justify our proposition.

Keywords: Public-information disclosure; Informed trading; Uninformed trading; The day-of-the-week effect (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:47:y:2015:i:c:p:271-279

DOI: 10.1016/j.econmod.2015.03.004

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