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| Tekijä: | Joseph, N. L. Hewins, R. D. |
| Otsikko: | Seasonality estimation in the UK foreign exchange market. |
| Lehti: | Journal of Business Finance and Accounting
1992 : JAN, VOL. 19:1, p. 39-71 |
| Asiasana: | DATA ANALYSIS UNITED KINGDOM FOREIGN EXCHANGE MARKET RATE OF RETURN |
| Kieli: | eng |
| Tiivistelmä: | This study investigates the seasonality for nine currencies from the UK foreign exchange (FX) market. The returns over several specific intervals are examined for the spot rate and examined for the spot rate and a number of forward rates. The general pattern of day of the week returns is not generally analogous to that found in the US FX market. Of the several hypotheses examined, the settlement hypothesis as espoused by Levi (1978) and McFarland et al. (1982) was not found to be generally applicable to UK returns. Instead, greater empirical support was found for the hypothesis that day of the week variation is related to the settlement procedures in the UK Stock market. |
SCIMA