USD/JPY also exhibited high liquidity at London 4pm, although the 10am Tokyo WMR fix was comparably liquid. For USD/CNH and USD/SGD, the picture was more balanced: local afternoon benchmark windows exhibited substantial liquidity, with trade activity and spreads often close to London 4pm levels.
For example, average trade counts in USD/CNH at 2pm and 3pm local time were close to those at midnight local time (i.e., London 4pm), while average trade counts in USD/SGD at 3pm, 4pm and 5pm local time were at least half those at midnight local time (London 4pm).
In a new FTSE Russell paper, quantitative currency researcher Robert Gaudiosi examines the utility of the London 4pm fix, showing that it remains a particularly resilient global liquidity point, even for Asia-Pacific (APAC) currencies whose “home” time is far removed from Britain’s.
Trade FX locally or in London?
4pm London falls between 11pm and 4am for FX traders in Singapore, Japan, China, Australia and New Zealand. Given this time difference, says Gaudiosi, there has been understandable interest in transacting more APAC currency business during local trading hours.
In Singapore, for example, recent industry work highlights the benefits and practical considerations of adopting Asian time-zone benchmarks for FX execution.
To test the relative advantages of different FX execution windows, Gaudiosi used data sourced from LSEG Tick History and LSEG Workspace, focusing on five major APAC currency pairs: AUD/USD, USD/CNH, USD/JPY, NZD/USD and USD/SGD.
For each pair, he compared trade activity, time-weighted bid-ask spreads and price impact per trade across hourly WMR benchmark windows, expressed in each currency’s local time.
The results showed that London 4pm remained the benchmark window with the deepest liquidity overall. Across the five currency pairs, it was associated with the highest trade activity, the tightest bid-ask spreads and the lowest price impact per trade.
The pattern was strongest for AUD/USD and NZD/USD, where London 4pm was clearly the deepest point of liquidity.
USD/JPY also exhibited high liquidity at London 4pm, although the 10am Tokyo WMR fix was comparably liquid. For USD/CNH and USD/SGD, the picture was more balanced: local afternoon benchmark windows exhibited substantial liquidity, with trade activity and spreads often close to London 4pm levels.
Trade frequency and time-weighted bid-ask spreads for AUD/USD, USD/CNH, USD/JPY, NZD/USD and USD/SGD
Source: LSEG Tick History. Data from 2 January 2024 to 27 February 2026. Past performance is not a guide to future returns.
Source: LSEG Tick History. Data from 2 January 2024 to 27 February 2026. Past performance is not a guide to future returns.
Source: LSEG Tick History. Data from 2 January 2024 to 27 February 2026. Past performance is not a guide to future returns.
Source: LSEG Tick History. Data from 2 January 2024 to 27 February 2026. Past performance is not a guide to future returns.
Source: LSEG Tick History. Data from 2 January 2024 to 27 February 2026. Past performance is not a guide to future returns.
Liquidity differences over time
Gaudiosi also examined how the liquidity differences between local benchmark windows and the London 4pm fix have evolved over time.
He found that, for AUD/USD and NZD/USD, London 4pm consistently exhibited higher trade activity and narrower bid-ask spreads than local benchmark windows. For USD/JPY, trade counts at the 10am WMR Tokyo benchmark have exceeded London 4pm levels since around 2022, alongside a relative tightening in bid-ask spreads.
In USD/CNH and USD/SGD, the results were more balanced, with local benchmark windows often matching or exceeding London 4pm in both trade activity and bid-ask spreads.
However, several episodes stood out in which the liquidity differentials between local benchmark windows and London end-of-day trading widened sharply, with traders placing more orders in what they saw as the deepest market—London.
The clearest example was the Covid market stress period, when the gap in trading activity increased materially for AUD/USD, NZD/USD and USD/JPY, alongside larger bid-ask spread differentials for AUD/USD and USD/JPY.
USD/CNH also experienced a temporary widening in local bid-ask spreads relative to London 4pm in Q4 2022, Gaudiosi found, potentially reflecting China-specific policy and economic uncertainty, including developments around the zero-Covid policy and rising US-China tensions.
Testing stress and month-end events
Using regression analysis, Gaudiosi then tested more formally whether the London 4pm FX fix becomes relatively more liquid during periods of elevated market-wide uncertainty and at month end, when benchmark-related portfolio rebalancing activity is typically highest.
He found that, on end-of-month days, the percentage of trading in local benchmark windows relative to London 4pm fell by more than 50%, while bid-ask spreads at London 4pm tightened by around 0.07 basis points relative to local benchmark windows and the price impact per trade was reduced by 0.09 basis points.
Similarly, a 10-point increase in the VIX (CBOE implied volatility index for the S&P 500) was associated with an approximately 13% reduction in local benchmark window trading relative to London 4pm, a further 0.05 basis point spread advantage for the London fix and a price impact reduction of 0.074 basis points per trade.
Conclusions
Gaudiosi concluded that the WMR London 4pm benchmark reflects the deepest point of FX market liquidity overall, with, on average, the highest trade activity, the tightest bid-ask spreads and the smallest price impact per trade.
These findings were strongest for AUD/USD and NZD/USD and also evident for USD/JPY, despite the domestic importance of the 10am WMR Tokyo fix. For USD/CNH and USD/SGD, the evidence was more mixed, with local afternoon benchmark windows showing substantial liquidity, and trade counts, spreads and price impact often close to London 4pm levels.
The London 4pm benchmark fix becomes relatively more liquid at month end and during periods of elevated market uncertainty, a finding that is consistent with liquidity converging on established global benchmarks when portfolio rebalancing needs are high or market conditions are more stressed.
Finally, while the London 4pm benchmark remains a key global liquidity point, the strong FX liquidity observed at specific local benchmark times—notably for USD/JPY, USD/CNH and USD/SGD—highlights the potential for broader use of intraday WMR benchmarks for execution, Gaudiosi predicts.
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