TY  - JOUR
AU  - Ito,Takatoshi
AU  - Hashimoto,Yuko
TI  - Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12413
PY  - 2006
Y2  - August 2006
UR  - http://www.nber.org/papers/w12413
L1  - http://www.nber.org/papers/w12413.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: ITOINTOKYO@aol.com

Yuko Hashimoto
Statistics Department
International Monetary Fund
700 19th Street, NW
Washington D.C., 20431
E-Mail: yhashimoto@imf.org
M2  - featured in NBER digest on 2006-08-07
AB  - 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.
ER  -