Purpose

The purpose of this study is to determine if intraday week (IDW) effect of the currencies reflect leverage and asymmetric impact in currencies market. The study data set comprises of intraday patterns of 15 currencies from developed and emerging economies.

Design methodology approach

The study applies the exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) model technique to observe the IDW leverage and asymmetric effect after introducing hourly dummies variables, namely, IDWmon, IDWwed, IDWfrid and IDWfrid-mon.

Findings

The study results favor the propositions and confirm that IDW effect do exist in the international forex markets in relation to hourly trading pattern for respective currencies. Mostly, currencies do depreciate on Monday and Wednesday compared to the rest of the days. However, on the last trading day, i.e. Friday currencies observe an appreciation pattern which is for both economies. The results have an evidence of leverage and asymmetric effect confirmed by the E-GARCH model as a result of press releases and influence by micro-factors in the currency markets.

Practical implications

The study believes to have theoretical connection related to the better understanding of currencies trend for developed and emerging economies, as the IDW effect exists. Moreover, confirmation of both the leverage and asymmetric effect in observed currencies would be able to assist the investors in making rational choices during the trading hours and would confirm considerable profits through profit incentivized strategies.

Originality value

The study not only add knowledge to the previous study work in relation to the hourly trading pattern of currencies with reference to the IDW effects but also highlights the leverage and asymmetric effect in currencies that will help in formulating future trading strategies particular to emerging economies.

中文翻译：

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货币每小时交易的日内周效应是否反映了杠杆和非对称异常？对贸易商的政策影响

目的

本研究的目的是确定货币的日内周（IDW）效应是否反映了货币市场的杠杆和不对称影响。研究数据集包括来自发达和新兴经济体的 15 种货币的日内模式。

设计方法论

本研究应用指数广义自回归条件异方差 (E-GARCH) 模型技术来观察引入小时虚拟变量 IDWmon、IDWwed、IDWfrid 和 IDWfrid-mon 后的 IDW 杠杆和非对称效应。

发现

研究结果支持这些命题，并确认国际外汇市场中确实存在 IDW 效应与各个货币的每小时交易模式相关。大多数情况下，与其他日子相比，周一和周三的货币确实会贬值。然而，在最后一个交易日，即周五货币观察到对两个经济体都适用的升值模式。由于新闻发布和货币市场微观因素的影响，E-GARCH 模型证实了杠杆和非对称效应的证据。

实际影响

该研究认为，由于存在 IDW 效应，这与更好地了解发达和新兴经济体的货币趋势有关。此外，确认观察货币的杠杆和非对称效应将能够帮助投资者在交易时间内做出理性选择，并通过利润激励策略确认可观的利润。

原创价值

该研究不仅为之前的研究工作增加了与 IDW 效应有关的货币每小时交易模式的知识，而且还强调了货币的杠杆和不对称效应，这将有助于制定未来特别针对新兴经济体的交易策略。