APAC Currencies Show Varied Liquidity Patterns in WMR Intraday Spot Rate Benchmarks

The WMR Intraday Spot Rate Benchmarks have revealed that the APAC currencies exhibit varying levels of liquidity during different times of the day.

A study of five currency pairs - AUD/USD, USD/CNH, USD/JPY, NZD/USD, and USD/SGD - showed that WMR Closing Spot Rates (London 4pm) represent the most liquid benchmark time for APAC currencies.

This period has the highest trade activity, tightest bid-ask spreads, and lowest price impact across these currency pairs.

The study also found that during APAC hours, some currencies experience significantly higher liquidity, particularly USD/CNH and USD/SGD in the local afternoon, as well as USD/JPY at the 10am Tokyo WMR fix.