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Intra-day seasonality in foreign exchange market transactions

Author

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  • John Cotter
  • Kevin Dowd

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 intraday 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

  • John Cotter & Kevin Dowd, 2007. "Intra-day seasonality in foreign exchange market transactions," Centre for Financial Markets Working Papers 10197/1161, Research Repository, University College Dublin.
    • Handle: RePEc:rru:cfmwps:10197/1161
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    File URL: http://hdl.handle.net/10197/1161
    File Function: First version, 2007
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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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