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| Author: | Covrig, V. Melvin, M. |
| Title: | Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen? |
| Journal: | Journal of Empirical Finance
2002 : AUG, VOL. 9:3, p. 271-286 |
| Index terms: | FOREIGN EXCHANGE JAPAN CURRENCY PRICES |
| Language: | eng |
| Abstract: | The authors identify a period with a high concentration of informed yen/dollar traders active in Tokyo. Findings include: 1. Japanese quotes lead the rest of the market when the informed are active. At other times, two-way causality is observed in quotes. 2. The contribution of Japanese quotes to yen/dollar price discovery relative to quotes of the rest-of-the-world is 5 to 12 percentage points higher when the informed are active compared to when they are absent. Private information can, at times, be important, yet "normal" times are characterized as periods where public information results in a high contemporaneous correlation across quotes. |
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