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Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/1906

Title: Model free evaluation of intraday periodicities of exchange rate return volatility
Authors: Pathberiya, H. A.
Tilakaratne, C. D.
Hansen, L. L.
Lokupitiya, R. S.
Issue Date: 25-Sep-2015
Abstract: Currency trading at the foreign exchange (hereinafter referred as Forex) market is now becoming more popular over the globe than trading at equity markets. Countries will have the economic benefit when engaging in international transactions by having bought appreciating currencies at lowest prices. It would be beneficial for market participants to be well-informed on the volatility condition of exchange rates since it is considered as an important factor when making trading decisions. Forex market executes its trading operations over the week starting from 22:00 Greenwich Mean Time (GMT) on Sunday to 22:00 GMT on Friday, while a trading day consists of four major trading sessions namely, Sydney, Tokyo, London and New York. This study investigates the discrepancies in intraday periodicities of EUR/USD returns during different trading days of the week. Brown-Forsythe test was used to test disparities in volatility between different time lags across different trading days of the week. The test revealed that the volatility of EUR/USD return exhibits more or less the similar behavior from Monday to Friday while it is slightly increasing from opening of the Tokyo session through the London session till opening of the New York session. During the New York session which is the last session of the day, volatility in different trading hours in any trading day of the week seems continuously decreasing. The highest volatility of the EUR/USD return was observed during the overlap time of the London and the New York sessions irrespective of the trading day. The lowest volatility was observed during the overlap time of the Sydney and Tokyo session in all the days except Monday where the lowest volatility was exhibited during the latter hours of New York session.
Description: Proceedings of the 69th Annual Sessions, 2013, Sri Lanka Association for the Advancement of Science, pp. 254.
URI: http://hdl.handle.net/123456789/1906
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