TY  - JOUR
AU  - Ito,Takatoshi
AU  - Hashimoto,Yuko
TI  - Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10856
PY  - 2004
Y2  - October 2004
UR  - http://www.nber.org/papers/w10856
L1  - http://www.nber.org/papers/w10856.pdf
N1  - Author contact info:
Takatoshi Ito
Graduate School of Economics
University of Tokyo
7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
JAPAN
Tel: 81-3-5841-5608
Fax: 81-3-5841-5521
E-Mail: tito@e.u-tokyo.ac.jp

Yuko Hashimoto
Statistics Department
International Monetary Fund
700 19th Street, NW
Washington D.C., 20431
E-Mail: yhashimoto@imf.org
AB  - This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets  -- Tokyo, London, and New York and low during the Tokyo and London lunch hours and late afternoon in New York. Second, a new observation is obtained in that activity does not increase toward the end of business hours in the three major markets, even during the closing hours of New York on Friday. Third, an average bid-ask spread is narrow (wide), when quote and deal frequencies are high (low, respectively), except the beginning hour of Tokyo (GMT 0), when the bid-ask spread is wide despite high levels of activity.
ER  -