外汇特别报告：八月日元占优

Strategist+44-20-75475907Christabel CharlesResearch Analyst currency pairs exhibiting significant seasonality based on daily closingprices.UnlikeDecember'sflow-driven seasonality,Augustappears more closelyassociated with risk-off dynamics and information-sensitive tradingbehaviour.Broad-basedJPYoutperformanceisthedominantAugusttheme,withtheyen appreciating against both G10 and EM currencies and generallyoutperformingtheUSD.JPYgainsareconcentrated intheLondon-NewYork overlap, suggesting a role for investor positioning, changingexpectations and ongoingpricediscovery.High-beta,commodity and carry currencies such as ZAR,MXN,AUD andNZD tend to underperform,particularly against JPY.NZD is a notableexception,exhibitingpersistentAugustweaknessdrivenlargelybyAsian-sessionmoves andpotentiallyalsolinkedtoseasonal exportdynamics.Overall,JPYstrengthremainsthemost robust and persistentAugustseasonal pattern across both developed and emerging market currencies.The current focus on Japanese repatriation flows provides an interestingbackdrop,coinciding with aperiod thathas historicallyfavoured yenstrength. FX Special Report This reportexaminesrecurring seasonal patterns inFXmarkets duringAugust.To identify seasonality,wetest whether August returns are systematically differentfrom those observed duringthe rest oftheyear.Specifically,foreachcurrencypair,weregressreturns onadummyvariablethattakesthevalueoneinAugustandzerohave historicallybeen consistentlyhigherorlowerthan in other months.We applythis framework to returns measured using London closing prices, returns acrosstrading sessions, and intraday returns, allowing us to assess not onlywhetherseasonality exists but also when during the trading day it tends to emerge. seasonalityacrossclosingprices andintradaysessions.Second,we showthatthestrongest and most persistent pattern is broad-based JPY outperformance,particularly against high-beta and carry currencies.Third, we examine the maincurrency-specific exceptions, including ZAR and NZD,to distinguish the generalAugust risk-off effect frommorelocal orflow-related seasonal patterns. Strong seasonalityinAugust:what standsout? Historical patterns suggest that seasonality has been an important driver of FXreturns in August, particularly when measured using daily closing prices ratherthan intraday moves. Figure 2 shows that more than 20 of the 60 currency pairs inour sample exhibit statistically significant August seasonality based on dailyclosingprices,comparedwitharound15whenreturnsaremeasuredacrosstimezones Figure 3).Whilethe breadthof August seasonality in dailyprices is similartothatobservedinDecember,theintradayeffectislesspronounced:morethan3ocurrencypairsexhibitDecemberseasonalityonanintradaybasis,versusaround15in August. Augusthashistoricallybeenassociatedwithrisk-offmarketbehaviour.Consistentwith this pattern, we find that JPY tends to appreciate against both G10 and EMcurrencies.These close-to-close moves are primarily driven byprice actionduringthe London-New York overlap (12:00-16:00 London time).We also observeweakness in some EM currencies against the dollar, particularly ZAR and MXN,with thesemoves largely occurring during theNewYork afternoon session (16:00-20:00 London time). The yen pattern and fewer seasonalitypairs during non-overlapping time zonessuggest that August seasonality is not driven by liquidity conditions alone. In ourearlier work,we argued that Fx seasonality can arise from trading imbalanceslinkedtoliquidity-relatedactivity,reflecting investors'preference totransactduringlocal market hours.However, some seasonal patterns may be driven byinformation-relatedfactorsratherthan liquidityneedsalone.TheconcentrationofAugust price moves in the London-New York overlap is consistent with thisinterpretation,giventhatthisistypicallythemostinformation-richperiodoftheglobal trading day.In the case of JPY appreciation,we find that price movesoriginating in the London morning tend to persist into the London-New Yorkoverlap.Consistentwith ourprevious findings,this returnpersistencemayreflectinformation asymmetries among market participants or the continuation of theprice discovery process as information is progressively incorporated into pricesacrosstrading sessions.Lowermarketliquidityduring Augustmayfurtheramplifythe impact of these information-drivenflows. FX Special Report strong seasonality in daily closing prices. In December, seasonal Fx patternsappear more closely tied to calendar-driven liquidity and hedging flows aroundyear-end reporting,balance-sheet management and portfolio rebalancing; inAugust, by contrast,the evidence points more to information-sensitive risk-offdynamicsamplifiedbythinnersummerliguidity SeasonalitystrongerforcurrenciesweakeningagainstJPYoverUSD August exhibits oneofthe clearest risk-off seasonal patterns inFX.Whilethe UsDtendsto strengthenagainstmanycurrencies,thedominantfeatureisbroad-basedJPYoutperformance.ForJPY,theoutperformanceappearstobedrivenbypricemoves in th