Intra-day seasonality in foreign exchange market transactions

John Cotter and Kevin Dowd

International Review of Economics & Finance, 2010, vol. 19, issue 2, 287-294

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 intra-day 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)
Date: 2010
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Intra-Day Seasonality in Foreign Exchange Market Transactions (2011)
Working Paper: Intra-Day Seasonality in Foreign Exchange Market Transactions (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:19:y:2010:i:2:p:287-294

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