Intraday Patterns in Foreign Exchange Returns and Realized Volatility

14 Pages Posted: 13 Mar 2018

See all articles by Hao Zhang

Hao Zhang

University of Victoria, Peter B. Gustavson School of Business

Date Written: February 22, 2018

Abstract

This paper investigates intraday patterns in foreign exchange returns based on a sample of 16 currencies versus the U.S. dollar using high-frequency data for the period 2010-2015. We find that home currencies tend to depreciate during domestic trading sessions and appreciate during U.S. trading sessions after London markets are closed, indicating that intraday patterns in foreign exchange returns exist in many countries, including countries with capital controls. Intraday patterns in foreign exchange returns are significantly related to realized volatility, which reflects risk attributable to order flow and market sensitivity to order flow in domestic and foreign markets.

Keywords: Foreign Exchange Returns, Intraday Patterns, Realized Volatile

JEL Classification: F31, G15

Suggested Citation

Zhang, Hao, Intraday Patterns in Foreign Exchange Returns and Realized Volatility (February 22, 2018). Available at SSRN: https://ssrn.com/abstract=3138756 or http://dx.doi.org/10.2139/ssrn.3138756

Hao Zhang (Contact Author)

University of Victoria, Peter B. Gustavson School of Business ( email )

Business & Economics Building, Room 256
Victoria, British Columbia
Canada

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