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Intraday effects of the currency market

Siroos Khademalomoom and Paresh Kumar Narayan

Journal of International Financial Markets, Institutions and Money, 2019, vol. 58, issue C, 65-77

Abstract: We investigate intraday patterns in the currency market. We use hourly exchange rates of the six most liquid currencies (i.e. the Australian Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen, and Swiss-Franc) vis-à-vis the United States Dollar over the period 2004–2014. We show that the bilateral exchange rates of these currencies exhibit a strong presence of time-of-the-day effects. Specifically, we uncover three new intraday effects previously unknown in the literature, namely, local markets post-opening effect, major markets activities effect, and markets overlapping times effect. We also show that currencies’ behaviour induced by these intraday effects has implications for investors.

Keywords: Foreign exchange; Intraday effects; High frequency; Trading strategy (search for similar items in EconPapers)
JEL-codes: C58 F31 G15 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:58:y:2019:i:c:p:65-77

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