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

Takatoshi Ito (), Richard Lyons () and M.T. Melvin

Working Papers from Economisch Institut voor het Midden en Kleinbedrijf-

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.

Keywords: INFORMATION; EXCHANGE RATE; TRADE (search for similar items in EconPapers)
JEL-codes: D82 G15 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1997
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Citations: View citations in EconPapers (5)

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Working Paper: Is there private information in the FX market? the Tokyo experiment (1997)
Working Paper: Is There Private Information in the FX Market? The Tokyo Experiment (1997)
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