Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...

Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...

Globalisation has led to a steady increase in the number of cross-border M&A activities, and so these deals are increasingly discussed in the FX market. However, since M&A activity is still measured in billions of dollars per month, as compared with the trillion-plus a day traded in the FX...