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Statistiche › Valute e commodities › Month-end FX fix

Equity gains predict a currency's month-end move at the London fix

EUR
2.36
USD
1.98
CHF
1.88
JPY
1.87
SEK
1.83
GBP
1.82
NOK
1.69
CAD
1.67
AUD
1.40
NZD
1.39

Month-end non-bank financial institution FX volume as a multiple of volume on the same weekday in the preceding non-month-end week, 2 May 2005 to 12 March 2010. Every currency in the sample trades at least 1.39 times its usual volume on the last business day of the month.

A ten percent relative equity appreciation over a month predicts about fourteen basis points of currency depreciation between 15:00 and 16:00 London on the final trading day. About seventy two percent of that move reverses by noon the next day.

0.0142Regression coefficient on relative equity return, p = 0.00, R squared 0.03
About 14bpImplied currency move for a 10% relative equity appreciation
About 72%Share of the 15:00 to 16:00 move reversed by noon the next day
1.39x to 2.36xMonth-end non-bank financial FX volume against the same weekday otherwise

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