Intra-day seasonality in foreign exchange market transactions

被引：4

作者：

Cotter, John ^{[2
]}

Dowd, Kevin ^{[1
]}

机构：

[1] Univ Nottingham, Ctr Risk & Insurance Studies, Sch Business, Nottingham NG8 1BB, England

[2] Univ Coll Dublin, Ctr Financial Markets, Sch Business, Blackrock, Co Dublin, Ireland

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2010年 / 19卷 / 02期

关键词：

Limit orders; Market orders; Seasonality; LIMIT ORDERS; SUBMISSION; STRESS; SYSTEM;

D O I：

10.1016/j.iref.2009.08.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 intra-day 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. (C) 2009 Elsevier Inc. All rights reserved.

引用

页码：287 / 294

页数：8

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