Intraday Patterns in FX Returns and Order Flow

被引：30

作者：

Breedon, Francis ^{[1
]}

Ranaldo, Angelo ^{[2
]}

机构：

[1] Univ London, London WC1E 7HU, England

[2] Univ St Gallen, Swiss Inst Banking & Finance, St Gallen, Switzerland

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2013年 / 45卷 / 05期

关键词：

G14; G15; foreign exchange; microstructure; order flow; liquidity; EXCHANGE-RATES; STOCK RETURNS; MARKET; SEASONALITIES; VOLATILITY; FUTURES; SYSTEM;

D O I：

10.1111/jmcb.12032

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a comprehensive high-frequency foreign exchange data set, 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.

引用

页码：953 / 965

页数：13

共 26 条

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