Intraday Patterns in FX Returns and Order Flow
AbstractUsing 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.
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Bibliographic InfoPaper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 694.
Date of creation: Apr 2012
Date of revision:
Foreign exchange; Microstructure; Order flow; Liquidity;
Other versions of this item:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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