Intraday-of-the-week effects: What do the exchange rate data tell us?

© 2020 Elsevier B.V. We examine currency market intraday patterns within the trading hours of the week. Our hypothesis is that the intraday-of-the-week (IDOW) effects exist in the currency market. Using hourly time-series exchange rates of twelve countries (namely, Australia, Canada, the EU, Japan, Switzerland, the UK, Brazil, India, Mexico, Russia, Turkey, and South Africa) vis-à-vis the US dollar, we find that: (a) significant IDOW patterns exist in the currency market across the trading hours of the week; (b) currencies generally tend to depreciate mostly on Mondays and Tuesdays and appreciate on rest of the days; and (c) IDOW trading strategies offer statistically significant profits for investors.