INTRADAY PATTERNS IN EXCHANGE RATE OF RETURN OF THE CHILEAN PESO: NEW EVIDENCE FOR DAY-OF-THE-WEEK EFFECT

dc.contributor.author	ROMERO-MEZA, RAFAEL
dc.contributor.author	BONILLA, CLAUDIO
dc.contributor.author	HINICH, MELVIN J.
dc.contributor.author	BORQUEZ, RICARDO
dc.date.accessioned	2021-10-20T13:31:03Z
dc.date.available	2021-10-20T13:31:03Z
dc.date.issued	2010
dc.description.abstract	We use a new statistical test based on the signal coherence function to detect subtle periodicities in the Chilean exchange rate. We resort to a unique intraday data set that allows us to capture persistent cyclical movements during the day that challenge the random walk hypothesis. We provide a microstructural explanation for the observed behavior, and also look at the day-of-the-week effect for the Chilean peso and find that the different days of the week indeed have different behavior patterns. This is an important result for investment allocation and risk assessment.	es
dc.identifier.citation	Macroeconomic Dynamics, 14 (Supplement 1), 2010, 42–58	es
dc.identifier.uri	https://doi.org/10.1017/S1365100509090385	es
dc.identifier.uri	http://hdl.handle.net/11447/4878
dc.language.iso	en	es
dc.subject	Foreign Exchange	es
dc.subject	Microstructure	es
dc.subject	Emerging Economy	es
dc.subject	Signal Coherence	es
dc.subject	Periodicities	es
dc.title	INTRADAY PATTERNS IN EXCHANGE RATE OF RETURN OF THE CHILEAN PESO: NEW EVIDENCE FOR DAY-OF-THE-WEEK EFFECT	es
dc.type	Article	es

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