Intra-day seasonality in foreign exchange market transactions

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dc.contributor.author Cotter, John
dc.contributor.author Dowd, Kevin
dc.date.accessioned 2009-06-09T15:19:40Z
dc.date.available 2009-06-09T15:19:40Z
dc.date.copyright 2007, Centre for Financial Markets en
dc.date.issued 2007-05-18
dc.identifier.uri http://hdl.handle.net/10197/1161
dc.description.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. en
dc.description.sponsorship University College Dublin. School of Business en
dc.format.extent 109668 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.publisher University College Dublin. School of Business
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP-07-12 en
dc.relation.ispartofseries UCD Business Schools Working Paper Series
dc.relation.ispartofseries WP08/16
dc.subject Limit orders en
dc.subject Market orders en
dc.subject Seasonality en
dc.subject.classification G1 en
dc.subject.classification G15 en
dc.subject.classification G32 en
dc.subject.lcsh International finance en
dc.subject.lcsh Foreign exchange market--Seasonal variations en
dc.subject.lcsh Seasonal variations (Economics) en
dc.title Intra-day seasonality in foreign exchange market transactions en
dc.type Working Paper en
dc.internal.authorid UCD0043
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/wp/WP-07-12.pdf en
dc.status Not peer reviewed en
dc.neeo.contributor Cotter|John|aut|UCD0043
dc.neeo.contributor Dowd|Kevin|aut|


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