Deakin University
Browse

File(s) under permanent embargo

Intraday effects of the currency market

journal contribution
posted on 2019-01-01, 00:00 authored by S Khademalomoom, Paresh Narayan
We investigate intraday patterns in the currency market. We use hourly exchange rates of the six most liquid currencies (i.e. the Australian Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen, and Swiss-Franc) vis-à-vis the United States Dollar over the period 2004–2014. We show that the bilateral exchange rates of these currencies exhibit a strong presence of time-of-the-day effects. Specifically, we uncover three new intraday effects previously unknown in the literature, namely, local markets post-opening effect, major markets activities effect, and markets overlapping times effect. We also show that currencies’ behaviour induced by these intraday effects has implications for investors.

History

Journal

Journal of international financial markets, institutions and money

Volume

58

Pagination

65 - 77

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

1042-4431

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2018, Elsevier B.V.

Usage metrics

    Research Publications

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC