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Intraday-of-the-week effects: What do the exchange rate data tell us?

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  • Khademalomoom, Siroos
  • Narayan, Paresh Kumar

Abstract

We examine currency market intraday patterns within the trading hours of the week. Our hypothesis is that the intraday-of-the-week (IDOW) effects exist in the currency market. Using hourly time-series exchange rates of twelve countries (namely, Australia, Canada, the EU, Japan, Switzerland, the UK, Brazil, India, Mexico, Russia, Turkey, and South Africa) vis-à-vis the US dollar, we find that: (a) significant IDOW patterns exist in the currency market across the trading hours of the week; (b) currencies generally tend to depreciate mostly on Mondays and Tuesdays and appreciate on rest of the days; and (c) IDOW trading strategies offer statistically significant profits for investors.

Suggested Citation

  • Khademalomoom, Siroos & Narayan, Paresh Kumar, 2020. "Intraday-of-the-week effects: What do the exchange rate data tell us?," Emerging Markets Review, Elsevier, vol. 43(C).
    • Handle: RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302031
    DOI: 10.1016/j.ememar.2020.100681
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