Do trading hours affect volatility links in the foreign exchange market?

Treepongkaruna, Sirimon, Brooks, Robert and Gray, Stephen (2012) Do trading hours affect volatility links in the foreign exchange market?. Australian Journal of Management, 37 1: 7-27. doi:10.1177/0312896211411934

Author Treepongkaruna, Sirimon
Brooks, Robert
Gray, Stephen
Title Do trading hours affect volatility links in the foreign exchange market?
Journal name Australian Journal of Management   Check publisher's open access policy
ISSN 0312-8962
Publication date 2012-04
Sub-type Article (original research)
DOI 10.1177/0312896211411934
Volume 37
Issue 1
Start page 7
End page 27
Total pages 21
Place of publication London, United Kingdom
Publisher Sage Publications
Collection year 2013
Language eng
Abstract This paper explores whether volatility linkages exist at the intra-daily frequency in the foreign exchange market, and whether market trading hours affect volatility transmission. To answer these questions, we apply the Fleming, Kirby and Ostdiek model (1998) to 21 currency pairs using hourly data and allowing specific consideration to be given to the role of which market is open in driving volatility linkages. Our findings indicate that hourly volatility is less persistent than daily volatility. We also find that market trading hours play a different role in driving volatility linkages for major and non-major currencies. For major currency pairs, we find that simultaneous trading hours are not critical for the processing of information flow. However, for the other currency pairings volatility transmission is affected by which markets are open.
Keyword Common information
Foreign exchange market
Stochastic volatility
Trading hours
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2013 Collection
UQ Business School Publications
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Citation counts: TR Web of Science Citation Count  Cited 3 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 3 times in Scopus Article | Citations
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Created: Fri, 11 May 2012, 14:35:23 EST by Karen Morgan on behalf of UQ Business School