Day of the week effects on returns, price volatilties, and traded volume in foreign currency futures

Θεοχάρης Γραμματικός


Day-of-the-week effects are documented in five foreign currency futures, the German mark, the
Swiss franc, the British pound, the Canadian dollar, and the Japanese yen. Patterns on price volatility and
traded volume are detected which are distinct from the pattern on mean returns. In particular, the
overnight return from Tuesday's closing to Wednesday's opening is significantly higher than overnight
returns in other weekdays while trading returns are the same over different weekdays. On the other hand,
there is evidence that the trading volatility of futures prices is lower on Mondays than the other weekdays,
and traded volume appears to be highest on Tuesdays and lowest on Fridays.


Trade volume; Foreign currency

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η δικτυακή πύλη της ευρωπαϊκής ένωσης ψηφιακή ελλάδα ΕΣΠΑ 2007-2013