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SUMMARY:Foreign Exchange Fixings and Returns Around the Clock
DTSTART:20221021T103000
DTEND:20221021T120000
DTSTAMP:20260510T202439Z
UID:d3fdecaf6a0f211a8eed48b7478897aef84f8356146ec4db8a25820f
CATEGORIES:Conferences - Seminars
DESCRIPTION:Paul Whelan - Copenhagen Business School\nThe U.S. dollar appr
 eciates in the run up to foreign exchange fixes and depreciates thereafter
 \, tracing a W-shaped return pattern around the clock. For the G9 pairs in
  a 21-year sample\, return reversals are pervasive\, highly statistically 
 significant\, and based on spot volumes imply swings exceeding one billion
  U.S. dollars per day. Using natural experiments\, we show the existence o
 f a published reference rate determines the timing of intraday return reve
 rsals. Studying potential explanations\, we conclude this effect is due to
  the hedging activities of foreign exchange dealers who intermediate an un
 conditional demand for U.S. dollars at the fixes.
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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