Foreign exchange futures volatility: Day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements

1999 ◽  
Vol 19 (6) ◽  
pp. 665-693 ◽  
Author(s):  
Li-Ming Han ◽  
John L. Kling ◽  
Clifford W. Sell
Keyword(s):  
Foreign Exchange ◽  
Macroeconomic Announcements ◽  
Day Of The Week ◽  
Foreign Exchange Futures

Foreign Exchange Futures, Forwards, and Swaps

2012 ◽  
pp. 623-645 ◽  
Author(s):  
Naohiko Baba ◽  
Yuji Sakurai ◽  
Frank Packer
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Futures

scholarly journals The “day-of-the-week” effects in the exchange rate of Latin American currencies

2019 ◽  
Vol 14 (PNEA) ◽  
pp. 485-507
Author(s):  
Roberto Joaquín Santillán Salgado ◽  
Alejandro Fonseca Ramírez ◽  
Luis Nelson Romero
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Latin American ◽  
Foreign Exchange Market ◽  
The United States ◽  
Management Decision ◽  
Exchange Market ◽  
Day Of The Week ◽  
The Exchange Rate

This paper examines the “day-of-the-week” anomaly in the foreign exchange market of six major Latin American countries’ currencies: (Argentina, Brazil, Chile, Colombia, Mexico, and Peru), all with respect to the United States’ dollar. The returns of daily exchange rates are stationary, so we use linear regressions combined with GARCH, TARCH and EGARCH models to explore the presence of the “day-of-the-week” anomaly. The results confirm the presence of “abnormal” effects in some of the currencies and in some days of the week, particularly on Fridays and Mondays. Moreover, volatility in exchange rates shows clustering behavior, as well as leverage effects, which are carefully modelled in our analysis. This paper contributes to the literature by studying the “day-of-the-week” effects in currency exchange rate markets, a clear innovation with respect to the typical stock market analysis. The results reported are useful for foreign exchange market traders, currency exposure management decision makers, monetary authorities, and financial policy designers in the countries included in the study. Indeed, the results suggest the presence of a typical behavior of the exchange rate of all the currencies included in the sample.

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