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Day of the week effects on returns, price volatilties, and traded volume in foreign currency futures
Journal of Economics and Business - SPOUDAI
View Archive Info| Field | Value | |
| Title |
Day of the week effects on returns, price volatilties, and traded volume in foreign currency futures
Day of the week effects on returns, price volatilties, and traded volume in foreign currency futures |
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| Creator |
Γραμματικός, Θεοχάρης
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| Subject |
Ογκος των συναλλαγών; Συνάλλαγμα
Trade volume; Foreign currency |
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| Description |
Day-of-the-week effects are documented in five foreign currency futures, the German mark, the Swiss franc, the British pound, the Canadian dollar, and the Japanese yen. Patterns on price volatility and traded volume are detected which are distinct from the pattern on mean returns. In particular, the overnight return from Tuesday's closing to Wednesday's opening is significantly higher than overnight returns in other weekdays while trading returns are the same over different weekdays. On the other hand, there is evidence that the trading volatility of futures prices is lower on Mondays than the other weekdays, and traded volume appears to be highest on Tuesdays and lowest on Fridays. |
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| Publisher |
University of Piraeus
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| Date |
1991-07-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://spoudai.unipi.gr/index.php/spoudai/article/view/975
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| Source |
SPOUDAI - Journal of Economics and Business; Vol 41, No 3 (1991); 274-289
2241-424X 1105-8919 |
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| Language |
eng
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| Relation |
http://spoudai.unipi.gr/index.php/spoudai/article/view/975/1054
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| Rights |
Copyright (c) 1991 SPOUDAI - Journal of Economics and Business
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