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...
| Main Authors: | , |
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| 格式: | 文件 |
| 语言: | English |
| 出版: |
SpringerOpen
2023-07-01
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| 丛编: | Financial Innovation |
| 主题: | |
| 在线阅读: | https://doi.org/10.1186/s40854-023-00500-7 |