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

Michael Melvin () and Vincentiu Covrig
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Michael Melvin: W. P. Carey School of Business Department of Economics, http://wpcarey.asu.edu/Directory/stafffaculty.cfm?cobid=1039591
Vincentiu Covrig: Singapore University, http://wpcarey.asu.edu/Directory/stafffaculty.cfm?cobid=2133554

Working Papers from Department of Economics, W. P. Carey School of Business, Arizona State 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.

JEL-codes: F3 (search for similar items in EconPapers)
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