BSP‐UP Professorial Chair Lectures 
28 – 29 May 2012 
Bangko Sentral ng Pilipinas 
Malate, Manila 
 
Lecture No. 5 
 
Calendar Effects in Currencies: 
Evidence from the Philippines 
 
by  
 
Dr. Joel C. Yu 
BSP UP Centennial Professor 
of Finance 
 
 
 This Version
29 May 2012

Calendar Effects in Currencies:

Evidence from the Philippines

Joel C. Yu1

Abstract

The efficient market hypothesis claims that security returns follow a random walk. While
there are a lot of evidences supporting this hypothesis, there are also a host of empirical studies
that show otherwise. Referred to as anomalies, these counter evidences include the calendar
effects which show patterns of returns based on specific dates.

This study extends the literature to examine the existence of calendar effects on exchange
rates with special focus on the Philippine peso price of different currencies. It presents empirical
evidence on patterns of changes in the peso values of foreign currencies. This study is relevant to
Filipino households who generally have limited holdings of equity but earn income denominated
in a foreign currency because of the remittances sent by relatives overseas. It can establish
general rules on the best time to send remittances or exchange foreign currency to Philippine
peso.

Correspondence:

Joel C. Yu
Associate Professor
College of Business Administration
University of the Philippines-Diliman
Quezon City, Philippines 1101

Email: joel.yu@up.edu.ph
Tel: +63 (02) 928-4571

1The author acknowledges the support of the Bangko Sentral ng Pilipinas in the conduct of this research. The views
expressed in this paper do not reflect the views of the BSP nor those of the University of the Philippines College of
Business Administration.
 Calendar Effects in Currencies
Evidence from the Philippines

Joel Yu
Associate Professor
College of Business Administration
University of the Philippines, Diliman

1. Introduction

The efficient market hypothesis (EMH) is one of the central themes in finance. It claims that
efficient capital markets reflect information about a specific security and the stock market as a
whole. Any new information is rapidly assimilated by the market and is fully reflected in security
prices. (Fama, 1970)

The claim of the EMH suggests that security prices follow a random walk process. Since all
information are fully reflected in security prices in a given period, only new information in the
succeeding period will determine the movement in security prices. Inasmuch as such new
information is random, the changes in security prices are random as well.

The literature is rich in the empirical validation of the EMH. While there are a lot of
evidences supporting this hypothesis, there are also a host of empirical studies that show
otherwise. (for instance, Jensen, 1978 and Malkiel, 2003) Referred to as anomalies, these counter
evidences include the calendar effects which show patterns of returns based on specific dates.

This study extends the literature to examine the existence of calendar effects on exchange
rates with special focus on the Philippine peso price of different currencies. It presents empirical
evidence on patterns of changes in the peso values of foreign currencies. This study is relevant to
Filipino households who generally have limited holdings of equity but earn income denominated
in a foreign currency because of the remittances sent by overseas Filipino workers2. The study is
also relevant to firms that have foreign exchange exposure and investors who hold foreign
exchange.

The rest of the paper is organized as follows: Section 2 presents an overview of calendar
effects. Section 3 describes the data used in the study and the methodology adopted. Section 4
concludes.

2 It is estimated that 10% of the Philippine population are overseas Filipino workers. Meanwhile, in its first consumer
finance survey in the Philippines, Bangko Sentral ng Pilipinas noted that one in five households receives financial
assistance from abroad.

2
2. Calendar Effects: An Overview

Calendar effects broadly refer to patterns in time series that are associated with specific
dates. Such patterns can be seen in time series data on production, sales, prices, ATM
transactions, and security returns. These patterns are usually associated to periodic events and
can serve as an input in planning and, ultimately, maximization of wealth.

Empirical studies on calendar effects on security returns were initially made by Fama (1965)
and Cross (1973). Their studies were extended by a host to authors to cover security markets in
other economies and to employ more advanced approaches. There were also extensions made on
calendar anomalies in other financial markets like currencies, commodities, and futures.

The common calendar effects on security returns are the patterns that are observed in specific
months of the year (MOY), days of the week (DOW) and holiday effects.

Among the MOY effects, the most studied is the January effect which investigates the above-
average returns in January relative to the other months of the year. Such pattern in security
returns is generally attributed to the investors’ actions to avoid taxes. At the end of the year,
securities that have negative returns are sold down to allow investors to realize their losses, offset
capital gains, and enjoy lower taxes. In addition, institutional investors would like to report a
profitable portfolio by the end of the year by selling securities with negative returns. The year-
end sell down and the pent-up demand for securities in January explain the higher-than-average
returns in the initial month of the year.

Another popular MOY effect is the October effect. Sometimes referred to as the Mark
Twain3 effect, the October effect refers to the observation that security returns in October is
lower than in other months of the year. In contrast to January effect, the October effect is
attributed to a psychological expectation of lower returns during the month. Such expectation is
based on the stock market crashes in 1929, 1987, and 2008 which all happened in October.

DOW effects refer to patterns that are associated with a specific day of the week. In
securities, it has been observed that returns on a Monday are generally lower (Cross, 1973, and
French, 1980). Lakonishok and Levi (1982) attribute this phenomenon to the delay between
trading and settlements in stocks and in clearing checks. Damodaran (1989) provides an
alternative explanation: Security returns on Mondays are lower because bad news is usually
reported on Fridays and investors have more time to assimilate their implications on stock prices.

Holiday effects refer to the effect of specific holidays on security returns. Among the popular
holiday effect is the Easter effect. The Halloween effect may also be classified under this
category. The list can be extended to account for specific holidays in a country such as the
Chinese new year’s day.

3 October effect is also referred to as the Mark Twain effect because of a line in Mark Twain’s Pudd’nhead Wilson: October. This
is one of the peculiarly dangerous months to speculate in stocks. The others are July, January, September, April, November, May,
March, June, December, August, and February."

3
3. Data and Methodology
3.1. Data

This study covers 14 foreign exchange rates which are chosen based on their relative
importance in the remittances of overseas Filipinos to the Philippines. Using the cumulative
remittances from 2003 to 2011, the following foreign exchange are considered in this study: US
dollar, Japanese Yen, Singapore dollar, Hongkong dollar, Taiwanese dollar, Canadian dollar,
Australian dollar, British pound, Euro, Norwegian Kroner, Saudi Riyal, United Arab Emirates
Dirham, Qatari Rial, and Kuwaiti Rial. (Refer to Table 1.)

Historical daily bid rates from October 23, 1993 to December 31, 2011 on the
abovementioned exchange rates were gathered from the website of OANDA, www.onada.com.
Daily data from OANDA includes rate on Saturday and Sunday which provide an indication on
the price of different currencies on weekends.

Using the data from OANDA, the daily logarithmic change in exchange rates were
computed using the following formula:

,

      100 (1)

, 

where EXRi is the daily logarithmic change in the Philippine peso price of a foreign currency i;
ln is the natural logarithmic function, Xi,t is the direct quote for foreign currency i at time t.

Descriptive statistics on the daily logarithmic change of the peso price of the 14 foreign
currencies are summarized in Table 2. As expected, the skewness and kurtosis suggest non-
normality of the data series. The Jarque-Bera test statistics confirm that the series are non-
normal. Meanwhile, the graph of the series show the volatility clustering that is characteristic of
financial time series. (Refer to Figure 1.)

3.2. Methodology

The test for the calendar effects on security returns seeks to validate the EMH. If security
returns are random, then the calendar effects will not be supported by the test.

A fundamental approach in testing for calendar effects is to empirically estimate the

following equation:

,  α  ∑
 β ,  ε, (2)
where
Ri,t : log return on security i at period t
αi and βij : parameter estimates
Dj,t : dummy variable that controls the calendar effect for date j
εi,t : error term

4
For instance, to test for the Monday effect, equation (2) will take on the following form:

,  α  β, ,  β, ,  β, ,  β, ,  ε, (3)
where
Ri,t : return on security i at time t,
αi : mean daily return of security i on Mondays
βij : mean daily return of security i on day j in excess of Monday mean return
j : day of the week: 2 for Tuesday, 3 for Wednesday, etc.
Dj,t : dummy variable which is equal to 1 if day at period t is j; zero otherwise
εi,t : error term

In this test, the null hypothesis is that the mean return on Mondays is not statistically
different from the other days of the week. The test is undertaken by evaluating the statistical
significance of the coefficients βij. If the coefficients are statistically significant, then one
concludes that the mean return in another day of the week is different from that of Monday.

The test of the calendar effect based on the empirical estimate of equation (3) is based on an
a priori assumption that the Monday effect exists. However, it cannot make any statement on
whether the returns on Tuesday, Wednesday, Thursday, and Friday are different from one
another.

An alternative specification of the model is to estimate five different models which

correspond to the different days of the week.

,  α  β, ,  ε, (4)

where:
Ri,t : log return on security i at period t,
αi and βi,j : parameter estimates
Dj,t : dummy variable that controls the calendar effect for date j.
εi,t : error term

In equation 4, the parameter αi measures the mean return of security i for all days of the week
other than day j and the parameter βi,j measures the excess mean return of security i for day j. To
confirm the presence of calendar effects, the statistical significance of parameter βi,j is
determined.

The empirical model specified in equation 4 can be generalized by changing the definition of
variable j. Instead of representing the five working days of the week, it may represent the seven
days of the week, the months of the year, week of the month, holiday, or any other calendar day.

As regards the specification of the error term, εi,t, the “stylized facts” about security returns
should be considered, i.e., non-normality and serial autocorrelation. Thus, instead of the usual
assumption that εi,t = iid(0, σ2), the variance of the error term is assumed in this study to be
governed by a parsimonious GARCH (1,1) model:

5
 σ  γ  γ ε   γ σ   ! (5)
where:
σ : variance of the error term
γi : parameter estimate
vt : error term

Equation 4 may be adopted in testing the presence of calendar effects in currencies. The
assumption that movements in currency rates follow a random process can be drawn from the
experiment of Meese and Rogoff (1983). This experiment shows that the random walk model
outperforms all models of foreign exchange in ex-post forecasting.

Three types of calendar effects are evaluated in this study: MOY, DOW, and Week1 of the
Month.

MOY Effect. While each month will be evaluated for possible calendar effect on the
movements in the peso value of key foreign currencies, it would be interesting to validate the
general perception that the peso strengthens in value in December. It is believed that during the
month, the Philippine peso appreciate as overseas Filipinos send more remittances to the
Philippines in support of their relatives.

DOW Effect. Each day of the week will be assessed. The Monday effect is of particular
interest to establish parallelism with the behavior of stock returns. In addition, it is of interest to
know if peso value generally diminishes on weekends financial institutions are closed and
foreign exchange transactions are limited to fewer foreign exchange dealers.

Week 1 of the Month (WOM). The initial week of the month is investigated in this study in
addition to the MOY and DOW effects. This will validate if remittances of overseas Filipino
workers which presumably come in the initial week has a bearing on the exchange rate.

4. Results

Table 3 shows a summary of the estimates of the coefficient βi,j. The first panel presents the
estimates for the MOY effect. The second and third panels present the estimates for the DOW
and the WOM effects, respectively. The numbers in bold red font indicate that the parameter
estimates are significantly different from zero at 10 percent level of significance.

MOY Effect. Figure 2 summarizes the results of the MOY effect. The stacked bars represent
the 14 currencies considered in the study: the green bars show the number of currencies that have
positive βij coefficients (i.e., currencies that appreciated in valued compared to the Philippine
peso) and the red bars show the number of currencies that have negative coefficients. The line
plots the average value of the coefficient during the month.

Figure 2 shows that a number of currencies generally registered an increase in value in the
months of February, June, July, August, and September. In the last three quarter of the year up to

6
the initial month of the following year, the Philippine peso strengthens relative to other
currencies.

It is worth noting that the Philippine peso appreciates vis-à-vis all 14 currencies examined in
the month of December. The pervasive gain of the Philippine Peso in December across different
currencies provides evidence to the view that the influx of remittances in the month of December
strengthens the Philippine peso. The largest gains in peso value in December were recorded
against the Japanese Yen and Canadian Dollar, respectively. The least gain was posted against
the British Pound and the Qatari Rial. (Refer to Figure 4)

However, Figure 3 shows that most of the parameter estimates are not statistically different
from zero. This suggests that the change in the foreign exchange rates in a given month is not
different from the average change in the other months. The month with the most number of
significant parameters is July which is also the month when the Peso lost its value the most.

DOW Effect. As regards the DOW effect, Figure 5 shows that on Mondays and Tuesdays,
the Philippine peso appreciates against all the 14 currencies. This number diminishes overtime
during the week until Saturday when the Philippine peso sheds off value across all the
currencies. These results are interesting: It shows that when banks are closed on weekends, the
sources of foreign currencies are limited and hence, their values increase. In addition, the
Monday, Tuesday, Saturday and Sunday effects are predominantly statistically significant.
(Refer to Figure 6).

WOM Effect. Out of the 14 currencies considered in this study, only three foreign currencies
appreciate in value: the Taiwanese Dollar, Canadian Dollar and the Australian Dollar. (Refer to
Figure 7.) But the parameter estimates for these currencies are not statistically significant. (Refer
to Table 3) In contrast, six out of the remaining 11 foreign currencies are statistically significant.
These currencies are the US dollar, the Japanese yen, the Hongkong dollar, the British pound,
Saudi Arabian Riyal, and the Qatari Rial. This evidence supports the view that the Philippine
peso gains in value in the initial week of each month as the bulk of the remittances of overseas
Filipinos enter the financial system.

5. Summary and Concluding Remarks

This paper examines the calendar effects of the Philippine peso value of 14 currencies. Three
calendar effects were examined: the MOY, DOW and WOM effects.

The MOY effect is at best mixed. The most noteworthy is the appreciation of the Philippine
peso across all currencies in the month of December. However, this is not statistically
significant. The greatest support for the MOY is the July effect where there are more currencies
that gain value against the Philippine peso and these are mostly statistically significant.

The empirical results for the DOW and WOM effects are more interesting. Statistics show
the Philippine peso generally gains value in the first two days of the week and weakens on
weekends. As regards the WOM, evidence shows that the Philippine peso gains value a number
of currencies and a number of these are statistically significant.

7
 Moving forward, it seems that the test for calendar effect can be enhanced to take into
consideration the regime switches that have been observed in financial time series like foreign
exchange rates. It would be interesting to know if the calendar effect will be more apparent if one
acknowledges potential changes in parameters under different regimes.

6. References

Aydoğan, K & Booth G. (2003) Calendar Anomalies in the Turkish Foreign Exchange Markets.
Applied Financial Economics, 13 (5), pp. 353-360.

Bangko Sentral ng Pilipinas. (2012) Consumer Finance Survey in the Philippines.

Damodaran, A. (1989) The Weekend Effect in Information Releases: A Study of Earnings and
Dividend Announcements. Review of Financial Studies, 2 (4), pp. 607-623.

Fama, E. (1970) Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of
Finance, 25 (2), pp. 383-417.

French, K. (1980) Stock Returns and the Weekend Effect. Journal of Financial Economics, 8
(1), pp 55-69.

Jensen, M. (1978) Some Anomalous Evidence Regarding Market Efficiency. Journal of

Financial Economics, 6 (2/3), pp. 95-101.

Lakonishok, J. & M. Levi. (1982) Weekend Effects on Stock Returns: A Note. Journal of
Finance, 37 (3), pp. 883-889

Malkiel B. (2003) The Efficient Market Hypothesis and Its Critics. Journal of Economic
Perspectives, 17 (1), pp. 59-82.

Meese, R. & Rogoff, K. (1983) Empirical Exchange Rate Models of the Seventies: Do They Fit
Out of Sample. Journal of International Economics 14, pp 3-24.

Yang, D. & Martínez C. (2005) "Remittances and Poverty in Migrants’ Home Areas: Evidence
from the Philippines" in Ozden, C. and Schiff M. (Eds.) International Migration,
Remittances, and the Brain Drain. World Bank.

8
7. Tables and Figures

Table 1
Remittances of Overseas Filipinos, By Country, 2003-2011
In thousand US Dollars
Country Total: 2003-11 Currency Symbol

TOTAL 1 126,683,957
ASIA 14,918,265
Japan 5,011,140 Japanese Yen JPY
Singapore 3,928,685 Singapore Dollar SGD
Hong Kong 3,123,862 Hongkong Dollar HKD
Taiwan 1,142,586 Taiwanese Dollar TWD
Others 1,711,992
AMERICAS 70,607,938
U.S.A. 61,212,955 US Dollar USD
Canada 8,700,932 Canadian Dollar CAD
Others 694,052
ddddddddddddddddddOCEANIA 1,244,812
Australia 1,050,962 Australian Dollar AUD
Others 193,849
EUROPE 20,422,339
United Kingdom 5,579,805 British Pound GBP
Italy 4,700,778 Euro EUR
Germany 2,381,159 Euro EUR
Norway 1,603,837 Norwegian Kroner NOK
Greece 1,152,877 Euro EUR
Others 5,003,884
MIDDLE EAST 19,245,236
Saudi Arabia 10,927,444 Saudi Riyal SAR
United Arab Emirates 4,478,174 UAE Dirham AED
Qatar 1,184,723 Qatari Rial QAR
Kuwait 1,037,052 Kuwaiti Dinar KWD
Others 1,617,843
AFRICA 147,089
2
OTHERS NEC 98,278

1/ Details may not add to totals due to rounding.

2./ Total amount of remittances from countries not elsewhere classified.
3/ Data are not truly reflective of the actual source of remittance of overseas Filipinos (OF). The common
practice of remittance centers in various cities abroad is to course remittances through correspondent banks
mostly located in the U.S. On the other hand, remittances coursed through money couriers cannot be
disaggregated into their actual country source and are lodged under the country where the main offices are
located, that is, Canada. Therefore, U.S. and Canada appear to be the main sources of OF remittances since
banks attribute the origin of funds to the most immediate source.

Source: Compiled by the Bangko Sentral ng Pilipinas (BSP) based on reports of commercial banks, thrift banks,
OBUs and FOREX Corporations.

9
 Table 2.
Descriptive Statistics

USD JPY SGD HKD TWD CAD AUD GBP EUR NOK SARIAL AED QAR KWD

Mean 0.0060 0.0111 0.0089 0.0059 0.0042 0.0097 0.0123 0.0067 0.0044 0.0089 0.0060 0.0060 0.0060 0.0071
Median 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
Maximum 8.3934 8.2692 7.1826 8.6019 7.6750 8.3511 8.0043 7.9464 5.0431 8.3428 8.5885 8.5337 8.6062 8.7011
Minimum -8.8369 -8.4683 -8.9881 -9.1427 -9.1846 -8.6410 -8.9785 -9.1667 -8.7861 -8.8974 -9.1604 -9.0714 -9.1492 -8.5522
Std. Dev. 0.5349 0.7367 0.5234 0.5130 0.6094 0.6167 0.7305 0.6953 0.6734 0.7096 0.5188 0.5158 0.7455 0.7203
Skewness 0.2192 0.3347 -0.3755 0.2637 -0.3032 0.1012 -0.1867 -0.0511 -0.4936 0.1305 0.2646 0.2758 0.1047 0.1496
Kurtosis 45.4624 15.0151 40.3201 55.0722 35.5188 25.6592 16.7503 19.6616 14.5623 18.1625 53.3673 53.4906 32.9951 17.6707

Jarque-Bera 499124.1 40082.5 385669.1 750602.7 292801.8 142126.9 52371.7 76843.0 26730.1 63653.9 702260.6 705708.6 249042.5 59598.8
Probability 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

Sum 39.665 73.488 58.816 39.447 28.150 64.457 81.489 44.329 20.941 59.177 39.763 39.826 39.780 47.199
Sum Sq. Dev. 1900.1 3604.4 1819.4 1748.1 2466.8 2525.8 3544.4 3210.7 2159.6 3344.6 1787.6 1766.9 3691.4 3446.0

Observations 6643 6643 6643 6643 6643 6643 6643 6643 4764 6643 6643 6643 6643 6643

10
 Table 3
To test the significance of calendar effects, the parameters of the following equation are estimated:
,  α  β, ,  ε,
The numbers below are the corresponding estimates for βi,j; Numbers in bold red font are significant at α=10%
USD JPY SGD HKD TWD CAD AUD GBP EUR NOK SAR AED QAR KWD

PANEL A
January -0.0125 -0.0567 -0.0524 -0.0151 0.0028 -0.0073 -0.0138 -0.0431 -0.0908 -0.0880 -0.0140 -0.0206 -0.0108 -0.0518
February 0.0282 0.0320 0.0818 0.0478 0.0211 0.0318 0.0674 0.0081 0.0195 0.0385 0.0236 0.0437 0.0031 0.0307
March -0.0019 -0.0300 -0.0214 -0.0081 -0.0104 -0.0197 -0.0224 -0.0128 -0.0049 0.0084 -0.0057 -0.0073 -0.0055 0.0007
April -0.0189 0.0101 0.0067 -0.0292 0.0082 0.0154 0.0271 0.0136 0.0066 0.0048 -0.0188 -0.0257 -0.0946 -0.0156
May -0.0138 -0.0069 -0.0195 -0.0223 -0.0435 -0.0043 -0.0144 -0.0046 0.0180 -0.0033 -0.0187 -0.0113 -0.0341 -0.0191
June 0.0117 0.0344 0.0012 0.0062 0.0079 0.0138 -0.0004 0.0375 0.0222 0.0345 0.0048 0.0048 0.0129 0.0424
July 0.1148 0.0739 0.1029 0.1208 0.0977 -0.0405 0.0420 0.0294 0.0243 0.0990 0.1360 0.1301 0.0614 0.0272
August 0.0215 0.0435 0.0074 0.0103 -0.0047 0.0329 -0.0009 -0.0225 0.0063 -0.0106 0.0116 0.0085 0.0080 0.0230
September 0.0120 -0.0021 -0.0223 0.0092 0.0514 0.0158 -0.0286 0.0194 0.0045 0.0137 0.0082 0.0082 0.0071 0.0130
October -0.0154 -0.0156 -0.0132 -0.0163 -0.0346 0.0102 0.0030 0.0054 0.0072 0.0049 -0.0178 -0.0204 0.0278 -0.0255
November -0.0007 -0.0357 -0.0273 0.0039 -0.0077 -0.0356 -0.0285 -0.0471 -0.0234 -0.0729 0.0084 0.0058 0.0017 -0.0055
December -0.0110 -0.0410 -0.0146 -0.0122 -0.0168 -0.0310 -0.0139 -0.0014 -0.0049 -0.0110 -0.0122 -0.0144 -0.0019 -0.0056
PANEL B
Monday -0.0353 -0.0237 -0.0435 -0.0487 -0.0675 -0.0638 -0.0521 -0.0359 -0.0491 -0.0387 -0.0429 -0.0443 -0.0372 -0.0150
Tuesday -0.0411 -0.0623 -0.0458 -0.0348 -0.0452 -0.0473 -0.0749 -0.0849 -0.0911 -0.1216 -0.0525 -0.0326 -0.0202 -0.0058
Wednesday 0.0051 0.0207 -0.0397 -0.0003 -0.0151 0.0135 -0.0402 -0.0158 -0.0143 -0.0293 -0.0048 0.0011 -0.0179 0.0159
Thursday -0.0063 -0.0117 0.0333 -0.0116 0.0093 0.0247 0.0481 0.0231 0.0283 0.0281 -0.0083 -0.0055 -0.0197 -0.0019
Friday 0.0046 -0.0020 -0.0091 0.0045 -0.0053 -0.0222 0.0038 0.0274 0.0155 0.0124 0.0051 0.0047 -0.0092 -0.0146
Saturday 0.0309 0.0385 0.0741 0.0307 0.0826 0.0531 0.0392 0.0195 0.0708 0.0506 0.0334 0.0170 0.0334 0.0484
Sunday 0.0386 0.0414 0.0312 0.0600 0.0391 0.0426 0.0758 0.0659 0.0392 0.1004 0.0717 0.0582 0.0767 -0.0288
PANEL C
Week 1 -0.0239 -0.0734 -0.0073 -0.0089 0.0042 0.0101 0.0062 -0.0344 -0.0286 -0.0255 -0.0136 -0.0022 -0.0376 -0.0199

11
 Figure 1.
Foreign Exchange Rate and Logarithmic Change
October 23, 1993 to December 31, 2012
Exchange Rate Percent Change
(Direct Quote) 100*(lnXt/lnXt+1)
60 10

55

50 5
US Dollar

45

40 0

35

30 -5

25

20 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

.6 10

.5 5
Japanese Yen

.4 0

.3 -5

.2 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

36 8
Singapore Dollar

32 4

28 0

24 -4

20 -8

16 -12
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

12
 Exchange Rate Percent Change
(Direct Quote) 100*(lnXt/lnXt+1)
8 10
Hong Kong Dollar

7
5

6
0
5

-5
4

3 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

2.0 8

1.8
Taiwanese Dollar

1.6
0
1.4
-4
1.2

-8
1.0

0.8 -12
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

50 10

45
Canadian Dollar

5
40

35
0
30

25
-5
20

15 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

48 10

44
Australian Dollar

40 5

36

32 0

28

24 -5

20

16 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

13
 Exchange Rate Percent Change
(Direct Quote) 100*(lnXt/lnXt+1)
120 10

110
100
British Pound

5
90

80
0
70

60
-5
50
40

30 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

80 6

4
70
2

0
Euro

60
-2
50 -4

-6
40
-8

30 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

10 10

9
Norwegian Kroner

5
8

7
0
6

5
-5
4

3 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

16 10
Saudi Arabian Riyal

14
5

12
0
10

-5
8

6 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

14
 Exchange Rate Percent Change
(Direct Quote) 100*(lnXt/lnXt+1)
16 10

14
5
AED

12
0
10

-5
8

6 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

16 10

14
5
QAR

12
0
10

-5
8

6 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

8 10

7
5
KWD

6
0
5

-5
4

3 -10
94 96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10

Source of basic data: OANDA

15
 Figure 2
Month of the Year Effect
Frequency of Positive and Negative Parameters
And Average of Coefficient βij

0.08 14

0.06 12

10
0.04
8
0.02
6
0.00
4
-0.02 2

-0.04 0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Positive Negative Coefficient: Left Axis

Figure 3
Month of the Year Effect
Frequency of Significant and Insignificant Parameters
And Average of Coefficient βij

0.08 14

0.06 12

10
0.04
8
0.02
6
0.00
4
-0.02 2

-0.04 0
1 2 3 4 5 6 7 8 9 10 11 12

Significant Not Significant Coefficien: Left Axist

16
 Figure 4
Month of the Year Effect
Parameter Estimate for βij in December Across Currencies

0.000
USD JPY SGD HKD TWD CAD AUD GBP EUR NOK SAR AED QAR KWD
-0.005

-0.010

-0.015

-0.020

-0.025

-0.030

-0.035

-0.040

-0.045

Figure 5
Day of the Week Effect
Frequency of Positive and Negative Parameters
And Average of Coefficient βij

0.06 14

0.04 12

10
0.02
8
0.00
6
-0.02
4
-0.04 2

-0.06 0
Mon Tue Wed Thu Fri Sat Sun

Positive Negative Coefficient: Left Axis

17
 Figure 6
Day of the Week Effect
Frequency of Significant and Insignificant Parameters
And Average of Coefficient βij
0.06 14

0.04 12

10
0.02
8
0.00
6
-0.02
4
-0.04 2

-0.06 0
Mon Tue Wed Thu Fri Sat Sun

Significant Insignificant Coefficient: Left Axis

Figure 7
Week 1 of the Month Effect
Parameter Estimate for βij Across Currencies

0.020
0.010
0.000
USD JPY SGD HKD TWD CAD AUD GBP EUR NOK SAR AED QAR KWD
-0.010
-0.020
-0.030
-0.040
-0.050
-0.060
-0.070
-0.080

18