Arbeitspapier
Intraday patterns in FX returns and order flow
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 694
- Klassifikation
-
Wirtschaft
International Financial Markets
- Thema
-
Foreign exchange
Microstructure
Order flow
Liquidity
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Breedon, Francis
Ranaldo, Angelo
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, School of Economics and Finance
- (wo)
-
London
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Breedon, Francis
- Ranaldo, Angelo
- Queen Mary University of London, School of Economics and Finance
Entstanden
- 2012
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