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Asymmetric Information and Price Discovery in the FX Market: Does Tokyo Know More About the Yen?

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Author Info
Michael Melvin () (W. P. Carey School of Business Department of Economics)
Vincentiu Covrig (Singapore University)
Abstract

We identify a period in the foreign exchange market when there is a high concentration of informed yen/dollar traders active in Tokyo. We exploit the data during this period to test implications of market-microstructure theory.

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Paper provided by Department of Economics, W. P. Carey School of Business, Arizona State University in its series Working Papers with number 2132855.

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Handle: RePEc:asu:wpaper:2132855

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F3 - International Economics - - International Finance

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