FX Premia Around The Clock

Ingomar Krohn, Philippe Mueller, Paul Whelan

Publikation: KonferencebidragPosterForskningpeer review

Abstrakt

We dissect return dynamics in the foreign exchange market into high-frequency components over the 24-hour day. Using twenty-four years of data on G10 currencies we unveil a distinct ‘W’ intraday pattern of returns to the dollar portfolio. We show that positive average returns for going long foreign currencies are almost entirely generated during U.S. main trading hours, whereas currencies collectively depreciate against the U.S. dollar overnight. Moreover, we document that 75% of the HML portfolio returns from a standard carry trade strategy and almost 80% of dollar carry returns are generated during the U.S. trading day. Finally, we show that our main result may be exploitable by investors that are able to benefit from lower than average transaction costs.
OriginalsprogEngelsk
Publikationsdato2019
StatusUdgivet - 2019
BegivenhedThe 79th Annual Meeting of American Finance Association. AFA 2019 - Hilton Atlanta, Atlanta, USA
Varighed: 4 jan. 20196 jan. 2019
Konferencens nummer: 79
https://editorialexpress.com/conference/AFA2019/program/AFA2019.html

Konference

KonferenceThe 79th Annual Meeting of American Finance Association. AFA 2019
Nummer79
LokationHilton Atlanta
LandUSA
ByAtlanta
Periode04/01/201906/01/2019
Internetadresse

Emneord

  • Foreign-exchange
  • Carry trade
  • High-frequency data
  • Intraday and overnight returns
  • Funding costs

Citationsformater