Intraday Patterns in FX Returns and Order Flow
Journal
Journal of Money, Credit and Banking
ISSN
0022-2879
ISSN-Digital
1538-4616
Type
journal article
Date Issued
2013-08
Author(s)
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.
Language
English
Keywords
Foreign exchange
Microstructure
Order flow
Liquidity
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Wiley
Publisher place
Oxford UK
Volume
45
Number
5
Start page
953
End page
965
Pages
13
Subject(s)
Division(s)
Eprints ID
216937