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Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System

Takatoshi Ito () and Yuko Hashimoto

No 10856, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and New York and low during the Tokyo and London lunch hours and late afternoon in New York. Second, a new observation is obtained in that activity does not increase toward the end of business hours in the three major markets, even during the closing hours of New York on Friday. Third, an average bid-ask spread is narrow (wide), when quote and deal frequencies are high (low, respectively), except the beginning hour of Tokyo (GMT 0), when the bid-ask spread is wide despite high levels of activity.

JEL-codes: F31 F33 G15 (search for similar items in EconPapers)
Date: 2004-10
New Economics Papers: this item is included in nep-fin and nep-ifn
Note: IFM AP
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