Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/97343 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
Working Paper No. 694
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
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.
Schlagwörter: 
Foreign exchange
Microstructure
Order flow
Liquidity
JEL: 
G15
Dokumentart: 
Working Paper

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