Foreign Exchange Fixings and Returns around the Clock
研究发现美元在定盘前升值、定盘后贬值，形成W形回报模式；该模式在21年间对九种主要货币显著，日波动超10亿美元，且定盘参考汇率决定日内反转时点，支持库存风险解释。
ABSTRACT The U.S. dollar appreciates in the run‐up to foreign exchange (FX) fixes and depreciates thereafter, tracing a W ‐shaped return pattern around the clock. Return reversals for the top nine traded currencies over a 21‐year period are pervasive and highly statistically significant, and they imply daily swings of more than one billion U.S. dollars based on spot volumes. Using natural experiments, we document the existence of a published reference rate determines the timing of intraday return reversals. We present evidence consistent with an inventory risk explanation whereby FX dealers intermediate unconditional demand for U.S. dollars at the fixes.