Intraday Patterns in FX Returns and Order Flow

Item Type Journal paper
Abstract

Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We also find that this pattern is reflected in order flow and suggest that both patterns relate to the tendency of market participants to be net purchasers of foreign exchange in their own trading hours. Data from a single market maker appears to corroborate that interpretation.

Authors Breedon, Francis & Ranaldo, Angelo
Journal or Publication Title Journal of Money, Credit and Banking
Language English
Keywords Foreign exchange, Microstructure, Order flow, Liquidity
Subjects business studies
Institute/School s/bf - Swiss Institute of Banking and Finance
HSG Classification contribution to scientific community
Refereed Yes
Date August 2013
Publisher Wiley
Place of Publication Oxford UK
Volume 45
Number 5
Page Range 953-965
Number of Pages 13
ISSN 0022-2879
ISSN-Digital 1538-4616
Publisher DOI 10.1111/jmcb.12032
Depositing User Prof. Dr. Angelo Ranaldo
Date Deposited 27 Sep 2012 11:54
Last Modified 23 Aug 2016 11:14
URI: https://www.alexandria.unisg.ch/publications/216937

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Citation

Breedon, Francis & Ranaldo, Angelo (2013) Intraday Patterns in FX Returns and Order Flow. Journal of Money, Credit and Banking, 45 (5). 953-965. ISSN 0022-2879

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https://www.alexandria.unisg.ch/id/eprint/216937
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