Cornett et al (1995) studies hourly data for US trading hours of FX futures from in the case of JPY and AUD, the week is extended from Saturday 18:00 GMT to
Previous PDF | Next PDF |
[PDF] WHEN IS IT THE BEST TIME TO TRADE THE FOREX MARKET
The market is open 24 hours a day from 21:00 GMT on Sunday until 21:00 GMT Friday This makes the spot FX market unique to any other market in the world,
[PDF] TRADING THE MAJORS - cloudfrontnet
GMT and closes on Friday 21:00 GMT The main forex trading The Forex market is broken up into four major trading sessions: The Sydney session, the Tokyo
[PDF] GUIDE TO ONLINE FOREX TRADING - Golden CFD
24 hour Market – The Forex market is open 24 hours a day, so that you can be right there trading Trading Sessions (“GMT” – Global Market Time): Since the
[PDF] Hours of Operation Index CFDs - OANDA
Service and Technical Support teams are available 24 hours a day during forex trading hours per Trade Max Leverage MT4 Lot Size Trading Hours ( GMT) Trading Hours (local exchange time) Underlying Futures Exchange
[PDF] Factsheets for currency traders - FOREXcom
Forex trading involves significant risk of loss and is not suitable for all investors Increasing leverage MOST ACTIVE TRADING HOURS 3:00AM ET / 7:00 GMT, London Open 8:30AM ET / 12:30 GMT, U S Economic Releases U S Dollar
[PDF] Forex Overview - Core Liquidity Markets
Trading Forex and Derivatives carries a high level of risk to your capital and you should only trade with money The Forex market can be broken up into four major trading sessions: the Sydney session, the Tokyo session, the GMT+2 Time
[PDF] Intraday patterns in FX returns and order flow - Swiss National Bank
Cornett et al (1995) studies hourly data for US trading hours of FX futures from in the case of JPY and AUD, the week is extended from Saturday 18:00 GMT to
[PDF] forgot enable password cisco switch
[PDF] form 1040
[PDF] form 1040 instructions
[PDF] form 1040 irs 2018 instructions
[PDF] form 1040 schedule c instructions 2018
[PDF] form 1040 c
[PDF] form 1040a
[PDF] form 1040a 2018
[PDF] form 1040nr
[PDF] form 1096
[PDF] form 1099
[PDF] form 1099 instructions
[PDF] form 1099 requirements
[PDF] form 1099 misc 2019
2011-4
Swiss National Bank Working Papers
Intraday patterns in FX returns and order flow
Francis Breedon and Angelo Ranaldo
The views expressed in this paper are those of the author(s) and do not necessarily represent those of the
Swiss National Bank. Working Papers describe research in progress. Their aim is to elicit comments and to
further debate.Copyright ©
The Swiss National Bank (SNB) respects all third-party rights, in particular rights relating to works protected
by copyright (information or data, wordings and depictions, to the extent that these are of an individual
character).SNB publications containing a reference to a copyright (© Swiss National Bank/SNB, Zurich/year, or similar)
may, under copyright law, only be used (reproduced, used via the internet, etc.) for non-commercial purposes
and provided that the source is mentioned. Their use for commercial purposes is only permitted with the
prior express consent of the SNB.General information and data published without reference to a copyright may be used without mentioning
the source.To the extent that the information and data clearly derive from outside sources, the users of such information
and data are obliged to respect any existing copyrights and to obtain the right of use from the relevant
outside source themselves.Limitation of liability
The SNB accepts no responsibility for any information it provides. Under no circumstances will it accept any
liability for losses or damage which may result from the use of such information. This limitation of liability
applies, in particular, to the topicality, accuracy, validity and availability of the information.ISSN 1660-7716 (printed version)
ISSN 1660-7724 (online version)
1IntradaypatternsinFXreturns
andorderflowFrancisBreedonandAngeloRanaldo
November2010
ABSTRACT
foreign flow and tocorroboratethat interpretation.JELͲkeys:G15
NicholasBrownof
232
1.Introduction
1 andreturns.As our evidence index (cf.,forexample,RogoffRimeetal(2010).
1 Order 233 2
Ranaldo(2009)usesindicativequotesfromthe
2 454 interdealer allowing
EberlyandPanageas(2009).
2DataandtimeͲofͲdayeffects
2.1Data
455 turnover(whereReutersdominates). 3 For 4 .Forthe hour
2.2TimeofDayeffects
Cornett
effect. 3 consideredandtheresultsremainunchanged. 4 676
Table1:EstimatedtradinghoursinFXmarkets
(standard/daylightsaving)FuturesmarketsJapan8.00Ͳ15.00+13/+14hoursTIF(noFX)
calculations significant parametricsigntestofreturns.1) Simpletestofsignificantexcessreturns.WeconducttwoͲsampletͲtestsfortheacceptanceofthe
677 5
2) Excessreturnsallowingforheteroscedasticityandautocorrelation.Adrawbackofasimpletestof
performedGARCHregressionsasfollows: 2411 k t i h h h t i k t i hk rɲdʌrɸ (1) 24222
,, 1 , 1
1t ih h t i t i
h (2) criterion.Theconditionalvarianceʍ 2 ofthe for heteroscedasticity3) Signtest.AsasimplenonͲparametrictestofthepropertiesofhourlyreturnswealsoassessthe
5 898 resultsavailablefromtheauthors). 89
9 pair
TradingsessionMidͲquote
returnMidͲquote returnGARCHSharepositiveTradingreturn EUR/USDEURsession Ͳ0.084**Ͳ0.095**0.44**0.06USDsession0.100**0.111**0.53*0.07
USDsession0.0000.0180.50Ͳ0.05
JPYsession Ͳ0.057**Ͳ0.040*0.48**Ͳ0.42
GBP/USDGBPsession Ͳ0.071**Ͳ0.066**0.45**Ͳ0.12USDsession0.092**0.126**0.55**Ͳ0.08
USDsession Ͳ0.088**Ͳ0.105**0.48Ͳ0.02
AUD/USDAUDsession Ͳ0.028**Ͳ0.038*0.50Ͳ0.51USDsession0.016**0.0230.52**Ͳ0.50
Starting
101110 afternoonlong.This 6 sincewewishtominimisethe possibilityofdataͲminingbiases.
2.3Stabilitythroughtime
6 day (seeRanaldo(2009)forfurtheranalysis).
101111
1999 2000 2001 2002 2003 2004 2005 2006 2007
EURsession
USDsession
Average
standardtͲtest.3Timeofdayeffectsandorderflow
3.1TimeofdayeffectsinFXorderflow
121312
TimeperiodOrderflowOrderflow
GARCHSharepositiveResidualreturns
EUR/USDEURsession Ͳ2.190**Ͳ1.415**0.457**0.0098USDsession2.284**3.950**0.522**0.0004
USD/JPYJPYsession0.3740.2220.5050.0003
USDsession Ͳ0.278*Ͳ0.1640.4960.0003
EUR/JPYEURsession0.0650.0200.487* Ͳ0.0006
JPYsession0.308**0.450*0.520**0.0001
GBP/USDGBPsession Ͳ0.264**Ͳ0.284**0.483** Ͳ0.0001USDsession0.132**0.213**0.509*0.0004
USD/CHFCHFsession1.461**1.500**0.530** Ͳ0.0002
USDsession0.3291.254*0.496Ͳ0.0005
USDsession Ͳ0.500*Ͳ0.2710.5980.0000
Average
returns. ratherthanexporters,asimports 121313
EUR/USDUSD/JPY
EUR/JPYGBP/USD
USD/CHFAUD/USD
141514
3.2Theorderflowreturnsrelationship
returns. our tradingsessionandtests 4Furtherevidenceonorderflow
unclear flows. inordertoaddresstheselimitations. 141515
4.1Datafromasinglemarketmaker
EuropeanͲbasedorderflowͲ0.85Ͳ0.30 Ͳ0.04 Ͳ0.28 US Ͳbasedorderflow0.01 Ͳ0.20*0.03 Ͳ0.06 0.02Average
aggregate orderflowoverwholetradingday not 161716
Cornettetal(1995).
checktwopropositions1) IsitthecasethatUSinvestorstendtobenetpurchasersofforeignequityandviceversa,asour
Paribasdatasuggest?
2) AretheintraͲdaypatternswehaveidentifiedcorrelatedwithmeasuredflowsatthemacro
viceversaforflowsintotheUS)?Table5:Evidence
fromUScrossͲborderequityflowdataEUR/USDUSD/JPYGBP/USDUSD/CHFAUD/USD
(%ofholdings,AR)6.0%1.9%14.3%3.1%2.1%AveragenetpurchasesofforeignequitybyUS(%
ofholdings,AR)0.1%6.3%4.2%0.3%3.4%0.040.110.100.09
purchases0.18*0.06 Ͳ0.030.070.18*Average
161717 equity purchasesthatmonth. outflowsarelarge.
5Conclusion
portfoliomanagement 181918
References
265.rates"ReviewofEconomicStudies58,565-585.
Chinn,
EvidencefromaNovelDataSet",NBERWP14175.
Froot,
investor flows",JournalofFinance60,1535Ͳ1566.JournalofFinancialEconomics16.99Ͳ117.
207.markets:
Economics20,637Ͳ664.
181919 ofBanking&Finance33,2199Ͳ2206.
FederalReserveSystem(U.S.).
Swiss National Bank Working Papers published since 2004:2004-1 Samuel Reynard: Financial Market Participation and the Apparent Instability of
Money Demand
2004-2
Urs W. Birchler and Diana Hancock: What Does the Yield on SubordinatedBank Debt Measure?
2005-1
Hasan Bakhshi, Hashmat Khan and Barbara Rudolf: The Phillips curve under state-dependent pricing2005-2 Andreas M. Fischer: On the Inadequacy of Newswire Reports for Empirical
Research on Foreign Exchange Interventions
2006-1 Andreas M. Fischer: Measuring Income Elasticity for Swiss Money Demand:
What do the Cantons say about Financial Innovation?2006-2 Charlotte Christiansen and Angelo Ranaldo: Realized Bond-Stock Correlation:
Macroeconomic Announcement Effects
2006-3 Martin Brown and Christian Zehnder: Credit Reporting, Relationship Banking,
and Loan RepaymentMacroeconomic Shocks - an Empirical Investigation
2006-5 Katrin Assenmacher-Wesche and Stefan Gerlach: Money Growth, Output Gaps and
Inflation at Low and High Frequency: Spectral Estimates for Switzerland2006-6 Marlene Amstad and Andreas M. Fischer: Time-Varying Pass-Through from Import
Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data2006-7 Samuel Reynard: Money and the Great Disinflation
2006-8 Urs W. Birchler and Matteo Facchinetti: Can
bank supervisors rely on market data?A critical assessment from a Swiss perspective
2006-9
Petra Gerlach-Kristen: A Two-Pillar Phillips Curve for Switzerland2006-10
Kevin J. Fox and Mathias Zurlinden: On Understanding Sources of Growth and Output Gaps for Switzerland
quotesdbs_dbs20.pdfusesText_26