{
  "study": "london-fix-month-end",
  "title": "The Benchmark They Fined $10bn For Rigging Still Moves the Market — Legally",
  "description": "On the last business day of the month the 16:00 London fix moves price 1.8x a normal day and gives back 2.71bp within the hour, in 12 of 17 months. On the other 350 days the same test returns zero.",
  "source": "https://fxbacktest.app/research/london-fix-month-end/",
  "publisher": "FxBacktest",
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "attribution": "FxBacktest, https://fxbacktest.app/research/london-fix-month-end/",
  "datePublished": "2026-09-18",
  "dateModified": "2026-09-18",
  "generated": "2026-09-18",
  "tables": [
    {
      "id": "mean-absolute-move-across-the-fixing",
      "caption": "Mean absolute move across the fixing window versus three control hours, basis points",
      "captionSource": "caption",
      "columns": [
        "Instrument",
        "Days",
        "11:00",
        "13:00",
        "16:00",
        "20:00",
        "16:00 vs 13:00",
        "Volume in window"
      ],
      "rowCount": 11,
      "rows": [
        {
          "Instrument": "GBP/USD",
          "Days": 102,
          "11:00": 2.75,
          "13:00": 2.84,
          "16:00": 6.16,
          "20:00": 2.78,
          "16:00 vs 13:00": "2.17x",
          "Volume in window": "1.69x"
        },
        {
          "Instrument": "AUD/USD",
          "Days": 102,
          "11:00": 2.99,
          "13:00": 3.4,
          "16:00": 5.93,
          "20:00": 3.5,
          "16:00 vs 13:00": "1.74x",
          "Volume in window": "1.55x"
        },
        {
          "Instrument": "USD/CAD",
          "Days": 102,
          "11:00": 1.65,
          "13:00": 2.53,
          "16:00": 4.38,
          "20:00": 2.02,
          "16:00 vs 13:00": "1.73x",
          "Volume in window": "1.71x"
        },
        {
          "Instrument": "EUR/GBP",
          "Days": 102,
          "11:00": 1.63,
          "13:00": 2.07,
          "16:00": 3.43,
          "20:00": 0.86,
          "16:00 vs 13:00": "1.66x",
          "Volume in window": "1.71x"
        },
        {
          "Instrument": "NZD/USD",
          "Days": 92,
          "11:00": 3.61,
          "13:00": 3.85,
          "16:00": 5.73,
          "20:00": 3.63,
          "16:00 vs 13:00": "1.49x",
          "Volume in window": "1.28x"
        },
        {
          "Instrument": "Gold (XAU/USD)",
          "Days": 516,
          "11:00": 7.97,
          "13:00": 10.16,
          "16:00": 14.15,
          "20:00": 8.42,
          "16:00 vs 13:00": "1.39x",
          "Volume in window": "0.92x"
        },
        {
          "Instrument": "EUR/USD",
          "Days": 99,
          "11:00": 2.24,
          "13:00": 3.03,
          "16:00": 4.07,
          "20:00": 2.48,
          "16:00 vs 13:00": "1.34x",
          "Volume in window": "1.45x"
        },
        {
          "Instrument": "USD/JPY",
          "Days": 102,
          "11:00": 2.29,
          "13:00": 2.87,
          "16:00": 3.79,
          "20:00": 2.52,
          "16:00 vs 13:00": "1.32x",
          "Volume in window": "1.70x"
        },
        {
          "Instrument": "Silver (XAG/USD)",
          "Days": 100,
          "11:00": 14.63,
          "13:00": 22.43,
          "16:00": 28.4,
          "20:00": 20.64,
          "16:00 vs 13:00": "1.27x",
          "Volume in window": "0.99x"
        },
        {
          "Instrument": "USD/CHF",
          "Days": 71,
          "11:00": 3.06,
          "13:00": 3.85,
          "16:00": 4.79,
          "20:00": 3.1,
          "16:00 vs 13:00": "1.24x",
          "Volume in window": "1.54x"
        },
        {
          "Instrument": "EUR/JPY",
          "Days": 102,
          "11:00": 2.16,
          "13:00": 2.98,
          "16:00": 3.69,
          "20:00": 2.01,
          "16:00 vs 13:00": "1.24x",
          "Volume in window": "1.58x"
        }
      ]
    },
    {
      "id": "mean-absolute-move-at-the-fix",
      "caption": "Mean absolute move at the fix by business-day offset from month end, pooled across nine major pairs",
      "captionSource": "caption",
      "columns": [
        "Business day relative to month end",
        "Mean move (basis points)",
        "Note"
      ],
      "rowCount": 8,
      "rows": [
        {
          "Business day relative to month end": "Four days before",
          "Mean move (basis points)": 4.9,
          "Note": "baseline"
        },
        {
          "Business day relative to month end": "Three days before",
          "Mean move (basis points)": 5.5,
          "Note": "baseline"
        },
        {
          "Business day relative to month end": "Two days before",
          "Mean move (basis points)": 7.8,
          "Note": "elevated, see below"
        },
        {
          "Business day relative to month end": "One day before",
          "Mean move (basis points)": 5.6,
          "Note": "baseline"
        },
        {
          "Business day relative to month end": "Last business day",
          "Mean move (basis points)": 10.1,
          "Note": "the event"
        },
        {
          "Business day relative to month end": "First day of next month",
          "Mean move (basis points)": 6,
          "Note": "decaying"
        },
        {
          "Business day relative to month end": "Second day of next month",
          "Mean move (basis points)": 5.4,
          "Note": "baseline"
        },
        {
          "Business day relative to month end": "Third day of next month",
          "Mean move (basis points)": 5.1,
          "Note": "baseline"
        }
      ]
    },
    {
      "id": "month-end-versus-normal-days-at",
      "caption": "Month-end versus normal days at each anchor hour, with permutation tests",
      "captionSource": "caption",
      "columns": [
        "London hour",
        "Month-end ratio",
        "Ratio against 16:00",
        "Permutation p"
      ],
      "rowCount": 5,
      "rows": [
        {
          "London hour": "11:00",
          "Month-end ratio": "1.08x",
          "Ratio against 16:00": "2.13x",
          "Permutation p": 0.011
        },
        {
          "London hour": "13:00",
          "Month-end ratio": "1.48x",
          "Ratio against 16:00": "1.56x",
          "Permutation p": 0.083
        },
        {
          "London hour": "16:00 (the fix)",
          "Month-end ratio": "2.31x",
          "Ratio against 16:00": "—",
          "Permutation p": 0.0007
        },
        {
          "London hour": "17:00",
          "Month-end ratio": "0.80x",
          "Ratio against 16:00": "2.90x",
          "Permutation p": 0.0012
        },
        {
          "London hour": "20:00",
          "Month-end ratio": "1.08x",
          "Ratio against 16:00": "2.14x",
          "Permutation p": 0.056
        }
      ]
    },
    {
      "id": "month-end-fix-by-pair-five",
      "caption": "Month-end fix by pair, five-minute panel, 17 month-ends",
      "captionSource": "caption",
      "columns": [
        "Pair",
        "Month-ends",
        "Move at month end (basis points)",
        "Move on a normal day",
        "Ratio",
        "Give-back after 60 min"
      ],
      "rowCount": 9,
      "rows": [
        {
          "Pair": "GBP/USD",
          "Month-ends": 17,
          "Move at month end (basis points)": 13.67,
          "Move on a normal day": 6.09,
          "Ratio": "2.25x",
          "Give-back after 60 min": "4.76 (t=3.2)"
        },
        {
          "Pair": "EUR/JPY",
          "Month-ends": 17,
          "Move at month end (basis points)": 10.63,
          "Move on a normal day": 4.78,
          "Ratio": "2.22x",
          "Give-back after 60 min": "2.22 (t=1.4)"
        },
        {
          "Pair": "EUR/GBP",
          "Month-ends": 17,
          "Move at month end (basis points)": 7.93,
          "Move on a normal day": 3.81,
          "Ratio": "2.08x",
          "Give-back after 60 min": "-0.02 (t=0.0)"
        },
        {
          "Pair": "USD/CHF",
          "Month-ends": 16,
          "Move at month end (basis points)": 12.09,
          "Move on a normal day": 6.65,
          "Ratio": "1.82x",
          "Give-back after 60 min": "5.31 (t=2.3)"
        },
        {
          "Pair": "USD/CAD",
          "Month-ends": 17,
          "Move at month end (basis points)": 7.92,
          "Move on a normal day": 4.57,
          "Ratio": "1.73x",
          "Give-back after 60 min": "-0.42 (t=-0.2)"
        },
        {
          "Pair": "NZD/USD",
          "Month-ends": 17,
          "Move at month end (basis points)": 10.64,
          "Move on a normal day": 6.48,
          "Ratio": "1.64x",
          "Give-back after 60 min": "2.59 (t=0.9)"
        },
        {
          "Pair": "USD/JPY",
          "Month-ends": 17,
          "Move at month end (basis points)": 8.82,
          "Move on a normal day": 5.63,
          "Ratio": "1.57x",
          "Give-back after 60 min": "4.50 (t=2.5)"
        },
        {
          "Pair": "AUD/USD",
          "Month-ends": 17,
          "Move at month end (basis points)": 10.87,
          "Move on a normal day": 7.03,
          "Ratio": "1.55x",
          "Give-back after 60 min": "2.24 (t=0.8)"
        },
        {
          "Pair": "EUR/USD",
          "Month-ends": 17,
          "Move at month end (basis points)": 8.59,
          "Move on a normal day": 5.67,
          "Ratio": "1.51x",
          "Give-back after 60 min": "3.27 (t=1.3)"
        }
      ]
    },
    {
      "id": "the-hour-after-the-month-end",
      "caption": "The hour after the month-end fix, one observation per month-end",
      "captionSource": "caption",
      "columns": [
        "Month end",
        "Move at the fix (basis points)",
        "Give-back after 30 min",
        "Give-back after 60 min"
      ],
      "rowCount": 20,
      "rows": [
        {
          "Month end": "30 Apr 2025",
          "Move at the fix (basis points)": 16.1,
          "Give-back after 30 min": 5.84,
          "Give-back after 60 min": 3.69
        },
        {
          "Month end": "30 May 2025",
          "Move at the fix (basis points)": 13.7,
          "Give-back after 30 min": 3.89,
          "Give-back after 60 min": 4.22
        },
        {
          "Month end": "30 Jun 2025",
          "Move at the fix (basis points)": 5.7,
          "Give-back after 30 min": 6.89,
          "Give-back after 60 min": 17.31
        },
        {
          "Month end": "31 Jul 2025",
          "Move at the fix (basis points)": 4.7,
          "Give-back after 30 min": -0.42,
          "Give-back after 60 min": -2.14
        },
        {
          "Month end": "29 Aug 2025",
          "Move at the fix (basis points)": 5.5,
          "Give-back after 30 min": 1.68,
          "Give-back after 60 min": 1.94
        },
        {
          "Month end": "30 Sep 2025",
          "Move at the fix (basis points)": 5,
          "Give-back after 30 min": -4.48,
          "Give-back after 60 min": -2.29
        },
        {
          "Month end": "31 Oct 2025",
          "Move at the fix (basis points)": 6.1,
          "Give-back after 30 min": 1.91,
          "Give-back after 60 min": 4.54
        },
        {
          "Month end": "28 Nov 2025",
          "Move at the fix (basis points)": 10.9,
          "Give-back after 30 min": 5.74,
          "Give-back after 60 min": 7.9
        },
        {
          "Month end": "31 Dec 2025",
          "Move at the fix (basis points)": 8.4,
          "Give-back after 30 min": 3.92,
          "Give-back after 60 min": 3.76
        },
        {
          "Month end": "30 Jan 2026",
          "Move at the fix (basis points)": 20.4,
          "Give-back after 30 min": -4.25,
          "Give-back after 60 min": -1.59
        },
        {
          "Month end": "27 Feb 2026",
          "Move at the fix (basis points)": 7,
          "Give-back after 30 min": 0.78,
          "Give-back after 60 min": -2.5
        },
        {
          "Month end": "31 Mar 2026",
          "Move at the fix (basis points)": 19.5,
          "Give-back after 30 min": 3.21,
          "Give-back after 60 min": 2.1
        },
        {
          "Month end": "30 Apr 2026",
          "Move at the fix (basis points)": 18.1,
          "Give-back after 30 min": -2.47,
          "Give-back after 60 min": 1.14
        },
        {
          "Month end": "29 May 2026",
          "Move at the fix (basis points)": 14.6,
          "Give-back after 30 min": -1.84,
          "Give-back after 60 min": 2.29
        },
        {
          "Month end": "30 Jun 2026",
          "Move at the fix (basis points)": 8.6,
          "Give-back after 30 min": 3.99,
          "Give-back after 60 min": 8.8
        },
        {
          "Month end": "31 Jul 2026",
          "Move at the fix (basis points)": 3.7,
          "Give-back after 30 min": -1.77,
          "Give-back after 60 min": -4.51
        },
        {
          "Month end": "31 Aug 2026",
          "Move at the fix (basis points)": 4.7,
          "Give-back after 30 min": -0.11,
          "Give-back after 60 min": 1.35
        },
        {
          "Month end": "Mean",
          "Move at the fix (basis points)": "—",
          "Give-back after 30 min": "1.32 (t=1.55)",
          "Give-back after 60 min": "2.71 (t=2.14)"
        },
        {
          "Month end": "Months positive",
          "Move at the fix (basis points)": "—",
          "Give-back after 30 min": "10 of 17",
          "Give-back after 60 min": "12 of 17"
        },
        {
          "Month end": "Same test, 350 normal days",
          "Move at the fix (basis points)": "—",
          "Give-back after 30 min": "-0.09 (t=-0.32)",
          "Give-back after 60 min": "0.01 (t=0.04)"
        }
      ]
    }
  ]
}