I am trying to do an analysis on time zones effect on intraday returns.
As a first step, I collected hourly log returns for the past 3 years and bucketed them by hour (so that I have 24 buckets with around 700 data points)
I am now trying to see if for some hours of the day, the average log return is significantly different than 0. To do that, I performed a 1sample tstat test on each of the buckets.
Are there any additional tests that I need to do to make sure the analysis is valid? (For each bucket, data looks normally distributed and there seems to be little autocorrelation)
Thanks for the help
Edit: the asset class is FX