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Intraday patterns in foreign exchange returns and realized volatility

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  • Zhang, Hao

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.

Suggested Citation

  • Zhang, Hao, 2018. "Intraday patterns in foreign exchange returns and realized volatility," Finance Research Letters, Elsevier, vol. 27(C), pages 99-104.
    • Handle: RePEc:eee:finlet:v:27:y:2018:i:c:p:99-104
    DOI: 10.1016/j.frl.2018.02.017
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    Cited by:

    1. Michael Frömmel & Eyup Kadioglu, 2023. "Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    2. Frömmel, Michael & D'Hoore, Dick & Lampaert, Kevin, 2021. "The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market," Finance Research Letters, Elsevier, vol. 42(C).
    3. Dan Gabriel Anghel, 2020. "What Can Machine Learning Tell Us About Intraday Price Patterns in a Frontier Stock Market?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 205-220, October.
    4. Sensoy, Ahmet & Serdengeçti, Süleyman, 2019. "Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 1-12.

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    More about this item

    Keywords

    Foreign exchange returns; Intraday patterns; Realized volatility;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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