Intra-day seasonality in foreign exchange market transactions

John Cotter and Kevin Dowd

Centre for Financial Markets Working Papers from Research Repository, University College Dublin

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 intraday 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; International finance; Foreign exchange market--Seasonal variations; Seasonal variations (Economics) (search for similar items in EconPapers)
JEL-codes: G1 G15 G32 (search for similar items in EconPapers)
Date: 2007-05
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http://hdl.handle.net/10197/1161 First version, 2007 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1161

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