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Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System

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Author Info
Takatoshi Ito (Faculty of Economics, University of Tokyo)
Yuko Hashimoto (Faculty of Economics, Toyo University)

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Abstract

This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY (Alec: The EBS notations define the base currency as the first currency in the name of the currency pair. Note that trading in EBS is done in millions of the base currency) and Euro-USD pairs recorded in the electronic broking system of the spot foreign exchange markets. The U-shape of intra-day activities is confirmed for Tokyo and London participants, but not for New York participants. Activities (deals and price changes) do not increase toward the end of business hours in the New York market, even on Fridays (ahead of weekend hours of non-trading). It is generally observed a negative correlation between the number of deals and the width of bid-ask spread during business hours, but in the first business minutes of Tokyo, bid-ask spread and activities have high correlation. It is also found that the concentration of transaction during overlapping business hours between Tokyo and London markets (London and New York markets) may arise from heterogeneous expectations among participants from different regions, that is waking up of participants of the next region in time line of the day.

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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-407.

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Length: 45pages
Date of creation: Mar 2006
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Handle: RePEc:tky:fseres:2006cf407

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Kentaro Iwatsubo & Yoshihiro Kitamura, 2008. "Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate," Discussion Papers 0801, Graduate School of Economics, Kobe University. [Downloadable!]
  2. Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe, 2008. "Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability," NBER Working Papers 14160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Takaaki Ohnishi & Hideki Takayasu & Takatoshi Ito & Yuko Hashimoto & Tsutomu Watanabe & Misako Takayasu, 2008. "Dynamics of quote and deal prices in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer, vol. 3(1), pages 99-106, June. [Downloadable!] (restricted)
  4. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research. [Downloadable!]
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