Forex Trading Strategy That Might Be Executed Due to the Popularity of Gotobi Anomaly

TL;DR

This paper investigates a trading strategy based on the Gotobi anomaly, where USD/JPY tends to rise on specific days, and explores its potential impact on Japanese companies' wealth and trading practices.

Contribution

It verifies the validity of a trading strategy exploiting the Gotobi anomaly and discusses its implications for Japanese companies and FX traders.

Findings

USD/JPY rises on Gotobi days divisible by five

Trading strategy based on the anomaly can be valid

Potential wealth leakage from Japanese companies to FX traders

Abstract

Our previous research has confirmed that the USD/JPY rate tends to rise toward 9:55 every morning in the Gotobi days, which are divisible by five. This is called the Gotobi anomaly. In the present study, we verify the possible trading strategy and its validity under the condition that investors recognize the existence of the anomaly. Moreover, we illustrate the possibility that the wealth of Japanese companies might leak to FX traders due to the arbitrage opportunity if Japanese companies blindly keep making payments in the Gotobi days as a business custom.