全球智库信息集成服务系统(G2TT): Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12413
来源ID	Working Paper 12413
	Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System
	Takatoshi Ito; Yuko Hashimoto
发表日期	2006-08-07
出版年	2006
语种	英语
摘要	This paper examines intra-day patterns of the exchange rate behavior, using the %u201Cfirm%u201D bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot foreign exchange markets. The U-shape of intra-day activities (deals and price changes) and return volatility is confirmed for Tokyo and London participants, but not for New York participants. Activities and volatility do not increase toward the end of business hours in the New York market, even on Fridays (ahead of weekend hours of non-trading). It is found that there exists a high positive correlation between volatility and activities and a negative correlation between volatility and the bid-ask spread. A negative correlation is observed between the number of deals and the width of bid-ask spread during business hours.
主题	International Economics ; International Finance ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w12413
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/570070
推荐引用方式 GB/T 7714	Takatoshi Ito,Yuko Hashimoto. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. 2006.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w12413.pdf（341KB）	智库出版物		限制开放	CC BY-NC-SA	浏览