IDEAS home Printed from
   My bibliography  Save this article

Does the weekday effect of the yen/dollar spot rates exist in Tokyo, London, and New York? An analysis of panel probability distribution


  • Hai-Chin Yu
  • Ingyu Chiou
  • James Jordan-Wagner


Using probability distribution techniques, this article explores whether any differences exist between the returns and volatility of yen/dollar spot markets in Tokyo, London and New York. After the intraday returns were fit into probability distributions, New York is found to have the highest return, followed by London, and then Tokyo. In estimating the peaks and widths of the distributions of volatility, Tokyo is found to have the lowest volatility in the log-normal distribution, while London and New York show similar volatility distributions, implying similar investor risk-return preference behaviour in the London and New York markets. The findings also imply that arbitrage opportunities between London and New York could be trivial. After estimating the panel distribution from Monday to Friday across the three markets, we found that the Monday effect disappears. Instead, Tuesday shows negative and significantly lower returns. The Friday (weekend) effect no longer exists. Instead, Thursday shows a positive and significantly higher return than the other weekdays. Finally, the three major currency markets did not become more volatile after Japan's deregulation in the foreign currency market in April 1998. On the contrary, they show less volatile behaviour than before deregulation. The probability distributions of volatility on different weekdays did not change significantly after deregulation.

Suggested Citation

  • Hai-Chin Yu & Ingyu Chiou & James Jordan-Wagner, 2008. "Does the weekday effect of the yen/dollar spot rates exist in Tokyo, London, and New York? An analysis of panel probability distribution," Applied Economics, Taylor & Francis Journals, vol. 40(20), pages 2631-2643.
  • Handle: RePEc:taf:applec:v:40:y:2008:i:20:p:2631-2643
    DOI: 10.1080/00036840600970294

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:40:y:2008:i:20:p:2631-2643. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.