This paper presents the ratio of the hourly return variance during trading-time to the hourly return variance during nontrading-time for live currency futures contracts. We find that: (1) hourly return variances are greater during trading-time than during nontrading-time, (2) hourly return variances are greater during weeknight nontrading-time than during weekend nontrading-time and (3) the variance ratios are generally highest for the Canadian dollar contracts, lower for the European currency contracts, and lowest for the Japanese yen contracts. The results suggests that the timing of business hours is an important determinant of the timing of currency futures return volatility.
ASJC Scopus subject areas
- Economics and Econometrics