Explaining trading volume in the Euro

Janusz Brzeszczynski, Michael Melvin

    Research output: Contribution to journalArticle

    5 Citations (Scopus)

    Abstract

    Following the introduction of the euro in 1999, daily trade volume began a downward trend until early 2002, after which daily volume started to trend upward. A model of weekly trades suggests that changes in momentum as well as the carry trade motives of interest differentials are significant explanatory factors. Daily data examination reveals that Fridays have lower activity, and Tuesdays greater activity than average. At the intradaily level, trading is very low before and after London business hours. Within the London business day, trade activity is higher in 5-min intervals when a 'big figure' is breached. This is consistent with stop-loss or take-profit motives for trading. Copyright © 2006 John Wiley & Sons, Ltd.

    Original languageEnglish
    Pages (from-to)25-34
    Number of pages10
    JournalInternational Journal of Finance and Economics
    Volume11
    Issue number1
    DOIs
    Publication statusPublished - Jan 2006

    Keywords

    • Foreign exchange
    • Microstructure
    • Trading volume

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