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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| dc.status | Not peer reviewed | en |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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