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Intraday effects of the currency market

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  • Khademalomoom, Siroos
  • Narayan, Paresh Kumar

Abstract

We investigate intraday patterns in the currency market. We use hourly exchange rates of the six most liquid currencies (i.e. the Australian Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen, and Swiss-Franc) vis-à-vis the United States Dollar over the period 2004–2014. We show that the bilateral exchange rates of these currencies exhibit a strong presence of time-of-the-day effects. Specifically, we uncover three new intraday effects previously unknown in the literature, namely, local markets post-opening effect, major markets activities effect, and markets overlapping times effect. We also show that currencies’ behaviour induced by these intraday effects has implications for investors.

Suggested Citation

  • Khademalomoom, Siroos & Narayan, Paresh Kumar, 2019. "Intraday effects of the currency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 65-77.
    • Handle: RePEc:eee:intfin:v:58:y:2019:i:c:p:65-77
    DOI: 10.1016/j.intfin.2018.09.008
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    Cited by:

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    2. Ying-Sing Liu, 2021. "The Impact of Trading Information Sets on Exchange Rate Change and Volatility: Evidence From Taiwan," SAGE Open, , vol. 11(4), pages 21582440211, November.
    3. Tao Chen & Kam C. Chan & Haodong Chang, 2022. "Periodicity of trading activity in foreign exchange markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 445-465, June.
    4. Yi, Chae-Deug, 2020. "Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    5. Alexander Koch & Toan Luu Duc Huynh & Mei Wang, 2024. "News sentiment and international equity markets during BREXIT period: A textual and connectedness analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 5-34, January.
    6. Khademalomoom, Siroos & Narayan, Paresh Kumar, 2020. "Intraday-of-the-week effects: What do the exchange rate data tell us?," Emerging Markets Review, Elsevier, vol. 43(C).
    7. YI, Chae-Deug, 2023. "Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance," Finance Research Letters, Elsevier, vol. 55(PA).

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    More about this item

    Keywords

    Foreign exchange; Intraday effects; High frequency; Trading strategy;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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