This paper studies how one currency market affects another currency market in a different time zone, using various contracts of the opening and closing yen-dollar exchange rates traded in Tokyo, London, and New York. We find strong and consistent evidence that the three major currency markets...

Using probability distribution techniques, this paper explores whether any differences exist between the returns and volatility of yen/dollar spot markets in Tokyo, London, and New York. After the intraday returns were fit into probability distributions, New York is found to have the highest...

This paper studies how one currency market affects another currency market in a different time zone, using various contracts of the opening and closing yen-dollar exchange rates traded in Tokyo, London, and New York. We find strong and consistent evidence that the three major currency markets...