Overnight price discovery and the internationalization of a currency: The case of the Korean won

Jianxin Wang

Pacific-Basin Finance Journal, 2014, vol. 29, issue C, 86-95

Abstract: This paper proposes a measure for the level of internationalization of a currency. It is based on the relative share of price discovery, termed the information share, in overnight offshore markets. I show that the overnight offshore markets play an increasingly important role in determining the KRW/USD exchange rate. The information share of the overnight offshore markets has increased from less than 10% in 1999–2000 to above 50% in 2011–2012. The variations in the overnight information share are consistent with variations in overnight market efficiency and investor learning.

Keywords: Currency internationalization; Overnight price discovery; Information share; Offshore markets (search for similar items in EconPapers)
JEL-codes: F31 F36 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:29:y:2014:i:c:p:86-95

DOI: 10.1016/j.pacfin.2014.03.003

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