Project Participants

  • Coordinator: Paul Whelan

Foreign Exchange Dynamics Around the Clock


What is the role of foreign exchange dealers' geographical location and the composition of domestic versus foreign traders for exchange rate dynamics and what are the implications of intraday currency movements for large and small open economies such as the Euro area and Denmark, respectively? This proposal aims to shed light on these questions by dissecting 24-hour currency returns into intraday components that distinguish between returns generated during the night and the day. Indeed, domestic financial markets open and close as the earth rotates across night and day; thus, the dominant FX market participants at any point in time depend geographically where the main trading venue is located `around the clock'. Uncovering a robust geographical dependence in FX returns will constitute an important contribution to academics and in practical terms to a variety of individuals and institutions, including small, medium and large companies, central banks, and day traders.


Public (National)


Danmarks frie forskningsfond

Collaborative partners:

Warwick Business School. University of Warwick



Start Date:


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