The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement

McFarland, James W.; Pettit, R. Richardson; Sung, Sam K.

doi:10.2307/2327703

Cited by 131 publications

(81 citation statements)

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“…Nevertheless, the extant studies point out to the presence of a day-of-the-week effect in the spot rates of major currencies as well as traded futures and options on these rates. Key references include McFarland et al (1982). So (1989), Hilliard and Tucker (1992), and Cornett et al (1995).…”

Section: Introductionmentioning

confidence: 99%

Calendar anomalies in the Turkish foreign exchange markets

Aydoǧan

Booth

2003

Applied Financial Economics

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This paper investigates calendar anomalies in the Turkish foreign exchange markets during 1986-1994 period. Changes in the free market and official daily exchange rates between the Turkish lira (TL) and US dollar (USD) and the German mark (DM) are examined for empirical regularities on different days of the week, around the turn of the month and before holidays. The findings reveal that free market rates exhibit day-of-the-week and week-of-month effects. In addition free market DM returns display a holiday anomaly. These calendar anomalies are explained by cash disbursement patterns, together with currency substitution in the economy. The impact of treasury auctions and banks' management of liquidity on day-ofthe-week effect is also discussed.

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Section: Introductionmentioning

confidence: 99%

Calendar anomalies in the Turkish foreign exchange markets

Aydoǧan

Booth

2003

Applied Financial Economics

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“…While there are a number of explanations for the DOW effect, the most accepted has been provided by Lakonishok and Levi (1982) who argue that the DOW effect could be attributed to the difference between trading time and settlement time. The DOW effect in currency markets is explained in detail in McFarland et al (1982) who state that the information flows more actively over weekend in currency markets relative to other financial markets.…”

Section: Resultsmentioning

confidence: 99%

“…Monday always shows the highest returns and Friday the lowest returns. Source: Kumar and Pathak (2016) The DOW effect is explained in detail in McFarland et al (1982) who state that the information flows more actively over weekend in currency markets relative to other financial markets. Therefore, it may be that the price changes on Monday could exhibit different distribution relative to other days of the week due to events of the weekend or due to a different length of non-trading period between Friday and Monday.…”

Section: The Dow Effectmentioning

confidence: 99%

A Review on the Evolution of Calendar Anomalies

Kumar

2017

Studies in Business and Economics

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“…McFarland et al (1982), Hilliard and Tucker (1992), Cornett et al (1995), Aydogan and Booth (2003) and Yamori and Kurihara (2004) investigated the day-of-the-week effect for the foreign exchange market. Yamori and Kurihara (2004) investigated the day-of-the-week effect for 29 foreign exchange markets in the 1980s and found the presence of the day-of-the-week effect.…”

Section: Literature Reviewmentioning

confidence: 99%

“…January effect has also been investigated for emerging markets (Nassir and Mohammad, 1987;Ho, 1999;Fountas and Segerdakis, 1999;Kumar and Singh, 2008). Apart from the stock market, seasonal effect has also been investigated for other commodity markets (Kumar and Singh, 2008) and the foreign exchange market with more focus on the day-of-the-week effect (McFarland et al, 1982;Hilliard and Tucker, 1992;Cornett et al, 1995;Aydogan and Booth, 2003;and Yamori and Mourdoukow, 2003). Little or no work has been done on monthly seasonality of the oil market.…”

Section: Introductionmentioning

confidence: 99%

Oil Price Volatility, Global Financial Crisis and The Month-of-the-Year Effect

Olowe¹

2010

IJBM

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This paper investigates the month-of-the-year effect in the UK Brent crude oil market using the GARCH (1,5) and GJR-GARCH (1,5) models in the light of Asian financial crisis and the global financial crisis using daily data over the period, January 4, 1988 and May 27, 2009. The result shows the presence of the month-of-the-year effect in volatility but not in the return in the oil market. However, the pattern of significance of monthly effect in volatility is affected by the choice of model. The significant month-of-the-year effect on volatility may be in line with information availability theoryThe result shows that the Asian financial crisis has an impact on the oil price return series while the global financial crisis has no impact on oil price returns. The Asian financial crisis and global financial crisis did not account for the sudden change in variance.

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The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement

Cited by 131 publications

References 0 publications

Calendar anomalies in the Turkish foreign exchange markets

Calendar anomalies in the Turkish foreign exchange markets

A Review on the Evolution of Calendar Anomalies

Oil Price Volatility, Global Financial Crisis and The Month-of-the-Year Effect

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