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Explaining trading volume in the euro

✍ Scribed by Janusz Brzeszczynski; Michael Melvin

Book ID
102277307
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
134 KB
Volume
11
Category
Article
ISSN
1076-9307

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✦ Synopsis

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 β€˜big figure’ is breached. This is consistent with stop‐loss or take‐profit motives for trading. Copyright Β© 2006 John Wiley & Sons, Ltd.

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