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Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System

  • Takatoshi Ito
  • Yuko Hashimoto

This paper examines intra-day patterns of the exchange rate behavior, using the %u201Cfirm%u201D bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot foreign exchange markets. The U-shape of intra-day activities (deals and price changes) and return volatility is confirmed for Tokyo and London participants, but not for New York participants. Activities and volatility 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 found that there exists a high positive correlation between volatility and activities and a negative correlation between volatility and the bid-ask spread. A negative correlation is observed between the number of deals and the width of bid-ask spread during business hours.

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File URL: http://www.nber.org/papers/w12413.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 12413.

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Date of creation: Aug 2006
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Publication status: published as Ito, Takatoshi & Hashimoto, Yuko, 2006. "Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system," Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 637-664, December.
Handle: RePEc:nbr:nberwo:12413
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