Seasonalities and intraday return patterns in the foreign currency futures market

Article Abstract:

Interday and intraday return patterns in the International Monetary Market's foreign exchange futures markets between 1977 and 1991 are investigated. The study's results indicate that insignificant daily returns are usually generated by significant negative returns overnight and significant positive returns during the trading day. Findings also show that foreign currency intraday return strengthens mostly during the opening hour and during the last two hours of the US trading day.

Foreign exchange futures

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Trading volumes and transaction costs in the foreign exchange market: evidence from daily dollar-yen spot data

Article Abstract:

Trading volume could be predicted but is previously disregarded during time-series estimation of daily relations between plain trading volumes and spot foreign exchange spreads. The daily dollar/yen foreign exchange trading volumes are also observed to behave like exchange rate returns with volumes exhibiting conditional heteroskedasticity. The spreads are increased by unpredictable foreign exchange turnover while predictable turnover lessens spreads and volumes.

Functions related to deposit banking, Foreign Exchange Dealers, Commodity Contracts Dealing, Prices and rates, Foreign exchange, Foreign exchange rates, Securities industry

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Public information arrival and volatility of intraday stock returns

Article Abstract:

The information-volatility relation is investigated by employing firm-specific announcements as a proxy for information flow using high-frequency data from the Australian Stock Exchange. A positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns, even after controlling for the potential effects of trading volume and high opening volatility, is revealed by the analysis.

Australia, Forecasts, trends, outlooks, Forecasts and trends, Market trend/market analysis, Return on investment, Rate of return, Stock markets, Stock market

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