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

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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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  • Michael Melvin & Vincentiu Covrig, "undated". "Asymmetric Information and Price Discovery in the FX Market: Does Tokyo Know More About the Yen?," Working Papers 2132855, Department of Economics, W. P. Carey School of Business, Arizona State University.
    • Handle: RePEc:asu:wpaper:2132855
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    JEL classification:

    • F3 - International Economics - - International Finance

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