Foreign Exchange Volume

• 成果类型: Article
• 署名作者: Cespa, Giovanni; Gargano, Antonio; Riddiough, Steven J.; Sarno, Lucio
• 署名单位: City St Georges, University of London; Centre for Economic Policy Research - UK; University of Houston System; University of Houston; University of Toronto; University of Cambridge
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab095
• 发表日期: 2022
• 页码: 2386
• 关键词: private information; TRADING ACTIVITY; Order Flow; Currency; MARKET; RISK; tests

摘要

We investigate the information contained in foreign exchange (FX) volume using a novel data set from the over-the-counter market. We find volume helps predict next-day currency returns and is economically valuable for currency investors. Predictability implies a stronger return reversal for currency pairs with abnormally low volume and is driven by the component of volume unrelated to volatility, liquidity, and order flow. We rationalize these findings via a simple model, in which FX volume helps reveal the degree of asymmetric information in currency markets. Testing this prediction shows that asymmetric information is uniform across currency pairs but varies across instruments.