|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|101909||2018||38 صفحه PDF||سفارش دهید||9456 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Financial Markets, Volume 37, January 2018, Pages 35-51
We examine the likely drivers of intraday momentum, defined as a significantly positive relation between the first half-hour and the last half-hour return, in a foreign exchange market with explicit trading hours. Using transaction-level data from the Moscow Interbank Currency Exchange on the RUBâUSD currency pair for the 2005â2014 period, our results suggest that intraday momentum in the ruble market is induced by risk aversion to overnight holdings among liquidity providers. In addition, our results complement earlier findings that suggest that market concentration due to trading hours matters for intraday momentum and that the effect is more pronounced during financial crises.