Explaining trading volume in the euro

Brzeszczynski, Janusz; Melvin, Michael

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 ‘big figure’ is breached. This is consistent with stop-loss or take-profit motives for trading.

Citation

Brzeszczynski, J., & Melvin, M. (2006). Explaining trading volume in the euro. International Journal of Finance and Economics, 11(1), 25-34. https://doi.org/10.1002/ijfe.289

• Journal Article Type: Article
• Online Publication Date: Feb 20, 2006
• Publication Date: 2006-01
• Deposit Date: Apr 2, 2025
• Journal: International Journal of Finance & Economics
• Print ISSN: 1076-9307
• Electronic ISSN: 1099-1158
• Publisher: Wiley
• Peer Reviewed: Peer Reviewed
• Volume: 11
• Issue: 1
• Pages: 25-34
• DOI: https://doi.org/10.1002/ijfe.289
• Keywords: Foreign exchange; microstructure; trading volume
• Public URL: http://researchrepository.napier.ac.uk/Output/4229998