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Is There Private Information on the FX Market? The Tokyo Experiment

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Author Info
Ito, T.
Lyons, R.
Melvin, M.T.

Additional information is available for the following registered author(s):

Abstract

It is a common view that private information in the foreign exchange market does not exist. We provide evidence against this view. 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. Having eliminated public information as the cause, we exploit recent results in micorstructure to discriminate between the two alternatives: private information and pricing errors.

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Publisher Info
Paper provided by Economisch Institut voor het Midden en Kleinbedrijf- in its series Papers with number 97-04.

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Length: 31 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:midkle:97-04

Contact details of provider:
Postal: ECONOMISCH INSTITUT VOOR HET MIDDEN EN KLEINBEDRIJF, RESEARCH INSTITUTE FOR SMALL AND MEDIUM-SIZED BUSINESS IN THE NETHERLANDS, NEUHUYS.

For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).

Related research
Keywords: INFORMATION EXCHANGE RATE TRADE

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Find related papers by JEL classification:
D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

References listed on IDEAS
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    Other versions:
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