Segmentation and Time-of-Day Patterns in Foreign Exchange Markets

Preprint OPEN
Angelo Ranaldo; (2007)
  • Subject: foreign exchange market, microstructure, behavioural finance, time-of-day patterns, market segmentation, calendar effects, inventory, asymmetric information, high-frequency data
    • jel: jel:F31 | jel:G10 | jel:G15 | jel:G14

This paper sheds light on a puzzling pattern in foreign exchange markets: Domestic currencies appreciate (depreciate) systematically during foreign (domestic) working hours. These time-of-day patterns are statistically and economically highly significant. They pervasive... View more
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