Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange

Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange

Abstract Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005–2013, we analyze the impact of trading hours extensions on volatility. During the sample p...

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Bibliographic Details
Main Authors: Michael Frömmel, Eyup Kadioglu
Format: Article
Language:English
Published: SpringerOpen 2023-07-01
Series:Financial Innovation
Subjects:
Volatility
Trading hours extension
Foreign exchange market
Informed trading
Volume
Spread
Online Access:https://doi.org/10.1186/s40854-023-00500-7

Internet

https://doi.org/10.1186/s40854-023-00500-7

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