Do trading hours affect volatility links in the foreign exchange market?

Treepongkaruna, Sirimon; Brooks, Robert Darren; Gray, Stephen

doi:10.1177/0312896211411934

Cited by 6 publications

(2 citation statements)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…We define the trading day as 7:30 a.m.-6:30 p.m. local Sydney time, Monday-Friday. Consistent with Treepongkaruna et al (2012) (who build on Treepongkaruna and Gray, 2009), we exclude trading that occurs over the weekend. Trading falls overwhelmingly inside this working day for the spot, swap and forward markets.…”

Section: Trading Activitymentioning

confidence: 99%

Measuring the information content of customer foreign exchange orders

Rosov

Foster

2013

Australian Journal of Management

View full text Add to dashboard Cite

This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010. We find little evidence in support of a cointegrating relation or a statistically significant correlation between customer order flow and FX returns. However, consistent with the liquidity provision role of non-financial customers in Evans and Lyons ((2002) Order flow and exchange rate dynamics. Journal of Political Economy 110: 170-180), we find a statistically significant negative correlation between order flow from the diversified economic sector and FX returns. A dynamic analysis suggests that order flow has little or no price impact on FX returns. These results suggest that the non-financial customer order flow of a commercial bank does not carry information about FX prices.

show abstract

Section: Trading Activitymentioning

confidence: 99%

Measuring the information content of customer foreign exchange orders

Rosov

Foster

2013

Australian Journal of Management

View full text Add to dashboard Cite

show abstract

“…Examples of a linkage between information and volatility in FX markets includeTreepongkaruna and Gray (2009) andTreepongkaruna et al (2012).…”

mentioning

confidence: 99%

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Padungsaksawasdi

Treepongkaruna

Brooks

2019

IJFS

Self Cite

View full text Add to dashboard Cite

Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities relationship exists, in which the SVI–trading volume relationship shows the strongest evidence. This is consistent with prior literature using trading volume as a proxy of investor attention. However, the relationships in the developed and developing markets are statistically significantly different. The stock markets in the developed markets over-react more to the search volume than those in the developing markets. We postulate that investor attention is one of the key elements in asset pricing in stock markets.

show abstract

Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda

Linnenluecke

Chen

Xin

et al. 2016

Pacific-Basin Finance Journal

View full text Add to dashboard Cite

This paper presents a systematic review of 73 influential publications among 667 journal articles published in the in the Asia-Pacific finance literature from 2011-2015. We map how the top 73 publications are related in terms of their citation relationships and identify eight different research fields, or lines of enquiry: (1) Corporate Finance, (2) Asset Pricing, (3) Conditional Asset Pricing, (4) Research on Anomalies, (5) Market Microstructure Research, (6) Factor Models, as well as two novel research streams, (7) Research Process and (8) Research on Frontiers in Finance. Focusing on the research frontiers in finance, our paper identifies emerging research trends and pathways for future research in the following areas: (1) Environmental Finance, (2) Modern Markets, (3) Behavioural Finance, (4) Qualitative Methods, and (5) Equity and Diversity. We highlight possible pathways for researchers to build on existing knowledge and pursue opportunities for innovative and exciting new research contributing to an expansion of the research frontiers.

show abstract

Do trading hours affect volatility links in the foreign exchange market?

Cited by 6 publications

References 45 publications

Measuring the information content of customer foreign exchange orders

Measuring the information content of customer foreign exchange orders

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda

Contact Info

Product

Resources

About