search query: @author Schwarz, T. / total: 6
reference: 5 / 6
| Author: | Cornett, M. Schwarz, T. Szakmary, A. |
| Title: | Seasonalities and intraday return patterns in the foreign currency futures market |
| Journal: | Journal of Banking and Finance
1995 : AUG, VOL. 19:5, p. 843-870 |
| Index terms: | CURRENCY FUTURES MARKETS PRICES |
| Language: | eng |
| Abstract: | This study extends daily returns research in foreign currencies by focusing upon an intraday analysis of future prices from the International Monetary Market (IMM). The authors find that insignificant daily returns are generally the result of significant negative returns overnight (when measured relative to the dollar) and significant positive returns during the trading day. The strengthening of foreign currencies intraday is concentrated during the opening hour, as well during the lst two hours of the U.S. trading day. |
SCIMA