Intraday Patterns in Foreign Exchange Returns and Realized Volatility
14 Pages Posted: 13 Mar 2018
Date Written: February 22, 2018
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
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