2021
DOI: 10.1108/jcefts-07-2020-0034
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Do intraday week effect in currencies hourly trading reflect leverage and asymmetric anomalies? Policy implications for traders

Abstract: Purpose The purpose of this study is to determine if intraday week (IDW) effect of the currencies reflect leverage and asymmetric impact in currencies market. The study data set comprises of intraday patterns of 15 currencies from developed and emerging economies. Design methodology approach The study applies the exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) model technique to observe the IDW leverage and asymmetric effect after introducing hourly dummies variables, namely, … Show more

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