Intraday-of-the-week effects: What do the exchange rate data tell us?

Siroos Khademalomoom and Paresh Kumar Narayan

Emerging Markets Review, 2020, vol. 43, issue C

Abstract: We examine currency market intraday patterns within the trading hours of the week. Our hypothesis is that the intraday-of-the-week (IDOW) effects exist in the currency market. Using hourly time-series exchange rates of twelve countries (namely, Australia, Canada, the EU, Japan, Switzerland, the UK, Brazil, India, Mexico, Russia, Turkey, and South Africa) vis-à-vis the US dollar, we find that: (a) significant IDOW patterns exist in the currency market across the trading hours of the week; (b) currencies generally tend to depreciate mostly on Mondays and Tuesdays and appreciate on rest of the days; and (c) IDOW trading strategies offer statistically significant profits for investors.

Keywords: Foreign exchange; High frequency; Intraday effects; Profits (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302031

DOI: 10.1016/j.ememar.2020.100681

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