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From Hour to Hour in the Foreign Exchange Market

Author

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  • Goodhart, C A E
  • Giugale, M

Abstract

This paper analyzes hourly data for four foreign exchange spot rates, deutsche mark/dollar, British pound/dollar, Yen/dollar, and Swiss franc/dollar, with a series covering January-July 1986 involving 3,409 observations. Besides standard findings of leptokurtosis and unit roots, three of the series exhibit negative first-order autocorrelation that became more pronounced after jumps. The series are pair-wise cointegrated and la gs of the deutsche mark/dollar helped in forecasting the Swiss franc/dollar. There is a marked hourly pattern in foreign exchange volatility, with much of the weekend break effect occurring only after Europe reopens at 09.00 Greenwich mean time on Monday mornings. Copyright 1993 by Blackwell Publishers Ltd and The Victoria University of Manchester

Suggested Citation

  • Goodhart, C A E & Giugale, M, 1993. "From Hour to Hour in the Foreign Exchange Market," The Manchester School of Economic & Social Studies, University of Manchester, vol. 61(1), pages 1-34, March.
    • Handle: RePEc:bla:manch2:v:61:y:1993:i:1:p:1-34
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    Cited by:

    1. Martin D. D. Evans, 2002. "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 57(6), pages 2405-2447, December.
    2. Martin D. D. Evans, 2017. "FX Trading and Exchange Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 5, pages 189-245, World Scientific Publishing Co. Pte. Ltd..
    3. C.A.E. Goodhart, 1997. "Whither now?," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 50(203), pages 385-430.
    4. Stephan Schulmeister, 2000. "Technical Analysis and Exchange Rate Dynamics," WIFO Studies, WIFO, number 25857, January.
    5. Eleanor Doyle, 2001. "Exchange rate volatility and Irish-UK trade, 1979-1992," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 249-265.
    6. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    7. Twm Evans, 2006. "Efficiency tests of the UK financial futures markets and the impact of electronic trading systems," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1273-1283.
    8. Han, Young Wook, 2007. "High frequency perspective on jump process, long memory property and temporal aggregation: Case of $-AUD exchange rates," Japan and the World Economy, Elsevier, vol. 19(2), pages 248-262, March.
    9. Terry Boulter & Celeste Ping Fern Tan, 2000. "The Short Run Impact of Scheduled Macroeconomic Announcements on the Australian Dollar during 1998," School of Economics and Finance Discussion Papers and Working Papers Series 082, School of Economics and Finance, Queensland University of Technology.
    10. Malik, Ali Khalil, 2005. "European exchange rate volatility dynamics: an empirical investigation," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 187-215, January.
    11. C.A.E. Goodhart, 1997. "Whither now?," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 50(203), pages 385-430.
    12. Hua, Mingshu & Gau, Yin-Feng, 2006. "Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 193-208, April.
    13. Ghosh, Dipak, 1997. "Negative autocorrelation around large jumps in intra-day foreign exchange data," Economics Letters, Elsevier, vol. 56(2), pages 235-241, October.
    14. Anna Calamia, 1999. "Market Microstructure: Theory and Empirics," LEM Papers Series 1999/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

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