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Explaining trading volume in the euro

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Author Info
Janusz Brzeszczynski (Heriot-Watt University, Edinburgh, UK)
Michael Melvin (Arizona State University, Tempe, AZ, USA)

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Abstract

Following the introduction of the euro in 1999, daily trade volume began a downward trend until early 2002, after which daily volume started to trend upward. A model of weekly trades suggests that changes in momentum as well as the carry trade motives of interest differentials are significant explanatory factors. Daily data examination reveals that Fridays have lower activity, and Tuesdays greater activity than average. At the intradaily level, trading is very low before and after London business hours. Within the London business day, trade activity is higher in 5-min intervals when a 'big figure' is breached. This is consistent with stop-loss or take-profit motives for trading. Copyright © 2006 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.289
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 11 (2006)
Issue (Month): 1 ()
Pages: 25-34
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Handle: RePEc:ijf:ijfiec:v:11:y:2006:i:1:p:25-34

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  1. Alain P. Chaboud & Sergey Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers 823, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Melvin, Michael & Yin, Xixi, 2000. "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Economic Journal, Royal Economic Society, vol. 110(465), pages 644-61, July. [Downloadable!] (restricted)
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  3. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
  4. Osler, Carol L., 2005. "Stop-loss orders and price cascades in currency markets," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 219-241, March. [Downloadable!] (restricted)
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