#2428. Do intraday week effect in currencies hourly trading reflect leverage and asymmetric anomalies? Policy implications for traders

December 2026publication date
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Journal’s subject area:
Economics, Econometrics and Finance (all);
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Abstract:
This article examines the impact of currencies on intraday week (IDW) leverage and asymmetric impact on the foreign exchange market. The research is based on the analysis of daily patterns of 15 currencies from developed and developing countries. The methodology is based on the exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) model method to observe the IDW leverage and asymmetric effect after the introduction of hourly dummies, namely IDWmon, IDWwed, IDWfrid, and IDWfrid-mon. The results show that the IDW effect does exist in international foreign exchange markets in relation to the hourly trading pattern for the respective currencies.
Keywords:
Asymmetric effects; E-GARCH; IDW effect; Intraday week; Leverage effects

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