Foreign Exchange Fixings and Returns around the Clock

• 成果类型: Article
• 署名作者: Krohn, Ingomar; Mueller, Philippe; Whelan, Paul
• 署名单位: Bank of Canada; University of Warwick; Chinese University of Hong Kong; University of Warwick
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13306
• 发表日期: 2024
• 页码: 541-578
• 关键词: INTRADAY PATTERNS; liquidity; imbalances; rates

摘要

The U.S. dollar appreciates in the run-up to foreign exchange (FX) fixes and depreciates thereafter, tracing a W-shaped return pattern around the clock. Return reversals for the top nine traded currencies over a 21-year period are pervasive and highly statistically significant, and they imply daily swings of more than one billion U.S. dollars based on spot volumes. Using natural experiments, we document the existence of a published reference rate determines the timing of intraday return reversals. We present evidence consistent with an inventory risk explanation whereby FX dealers intermediate unconditional demand for U.S. dollars at the fixes.