SEASONALITIES AND INTRADAY RETURN PATTERNS IN THE FOREIGN-CURRENCY FUTURES MARKET

This study extends daily returns research in foreign currencies by focusing upon an intraday analysis of futures prices from the international Monetary Market (IMM). We find that insignificant daily returns are generally the result of significant negative returns overnight (when measured relative to the dollar) and significant positive returns during the trading day. The strengthening of foreign currencies intraday is concentrated during the opening hour, as well as during the last two hours of the U.S. trading day. Several other anomalies are found when hourly returns are examined. We propose a transactions hypothesis (reflective of relative country trading patterns) which is consistent with most of the return patterns uncovered.