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  1. 117 経済学研究科・経済学部
  2. 70 日本経済国際共同センター
  3. Discussion Paper F series (in English)
  1. 0 資料タイプ別
  2. 60 レポート類
  3. 061 ディスカッションペーパー

Intra-day Seasonality in Activities of the Foreign Exchange Markets : Evidence from the Electronic Broking System

http://hdl.handle.net/2261/2682
http://hdl.handle.net/2261/2682
b5a62441-1c8d-45bc-b3ed-a90769319b88
Item type テクニカルレポート / Technical Report(1)
公開日 2013-06-03
タイトル
タイトル Intra-day Seasonality in Activities of the Foreign Exchange Markets : Evidence from the Electronic Broking System
言語
言語 eng
キーワード
主題Scheme Other
主題 JEL Classification Numbers: F31, F33, G15
資源タイプ
資源 http://purl.org/coar/resource_type/c_18gh
タイプ technical report
アクセス権
アクセス権 metadata only access
アクセス権URI http://purl.org/coar/access_right/c_14cb
著者 Ito, Takatoshi

× Ito, Takatoshi

WEKO 97600

Ito, Takatoshi

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Hashimoto, Yuko

× Hashimoto, Yuko

WEKO 97601

Hashimoto, Yuko

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著者所属
著者所属 University of Tokyo
著者所属
著者所属 Toyo University
抄録
内容記述タイプ Abstract
内容記述 This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY (Alec: The EBS notations define the base currency as the first currency in the name of the currency pair. Note that trading in EBS is done in millions of the base currency) and Euro-USD pairs recorded in the electronic broking system of the spot foreign exchange markets. The U-shape of intra-day activities is confirmed for Tokyo and London participants, but not for New York participants. Activities (deals and price changes) do not increase toward the end of business hours in the New York market, even on Fridays (ahead of weekend hours of non-trading). It is generally observed a negative correlation between the number of deals and the width of bid-ask spread during business hours, but in the first business minutes of Tokyo, bid-ask spread and activities have high correlation. It is also found that the concentration of transaction during overlapping business hours between Tokyo and London markets (London and New York markets) may arise from heterogeneous expectations among participants from different regions, that is waking up of participants of the next region in time line of the day.
内容記述
内容記述タイプ Other
内容記述 本文フィルはリンク先を参照のこと
書誌情報 Discussion paper series. CIRJE-F

巻 CIRJE-F-407, 発行日 2006-03
書誌レコードID
収録物識別子タイプ NCID
収録物識別子 AA11450569
フォーマット
内容記述タイプ Other
内容記述 application/pdf
日本十進分類法
主題Scheme NDC
主題 330
出版者
出版者 日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
関係URI
識別子タイプ URI
関連識別子 http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf407ab.html
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