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Intra-day seasonality in foreign exchange market transactions

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  • Cotter, John
  • Dowd, Kevin

Abstract

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intra-day seasonality in returns and return volatilities under usual market conditions. Moreover, analysis of realised tail outcomes supports seasonality for extraordinary market conditions across the trading day.

Suggested Citation

  • Cotter, John & Dowd, Kevin, 2010. "Intra-day seasonality in foreign exchange market transactions," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 287-294, April.
    • Handle: RePEc:eee:reveco:v:19:y:2010:i:2:p:287-294
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    2. Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders," Finance Research Letters, Elsevier, vol. 4(3), pages 146-154, September.
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    Cited by:

    1. Vortelinos, Dimitrios I., 2014. "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 199-216.
    2. Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
    3. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les & Xu, Danyang, 2021. "Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 55-81.

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    More about this item

    Keywords

    Limit orders Market orders Seasonality;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G1 - Financial Economics - - General Financial Markets

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