Is there private information in the FX market? The Tokyo experiment

• 成果类型: Article
• 署名作者: Ito, T; Lyons, RK; Melvin, MT
• 署名单位: Hitotsubashi University; National Bureau of Economic Research; University of California System; University of California Berkeley; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00045
• 发表日期: 1998
• 页码: 1111-1130
• 关键词: foreign-exchange market; trading volume; stock returns; METEOR-SHOWERS; HEAT WAVES; volatility; Intraday; rates; MODEL; COMPETITION

摘要

We provide evidence of private information in the foreign exchange market. The evidence comes from the introduction of trading in Tokyo over the lunch hour. Lunch-return variance doubles with the introduction of trading, which cannot be due to public information since the flow of public information did not change with the trading rules. We then exploit microstructure theory to discriminate between the two alternatives: private information and mispricing. Four key results support the predictions of private-information models. Three of these involve changes in the intraday volatility U-shape. The fourth is that opening trade causes mispricing's share in variance to fall.