| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5936 |
| 来源ID | Working Paper 5936 |
| Is There Private Information in the FX Market? The Tokyo Experiment | |
| Takatoshi Ito; Richard K. Lyons; Michael T. Melvin | |
| 发表日期 | 1997-02-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | 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 the volatility pattern over the whole day to discriminate between the two alternatives: private information and pricing errors. Three key results support the predictions of private-information models. First, the volatility U-shape flattens: greater revelation over lunch leaves a smaller share for the morning and afternoon. Second, the U-shape tilts upward, an implication of information whose private value is transitory. Finally, the morning exhibits a clear U-shape when Tokyo closes over lunch, and it disappears when trading is introduced. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w5936 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563434 |
| 推荐引用方式 GB/T 7714 | Takatoshi Ito,Richard K. Lyons,Michael T. Melvin. Is There Private Information in the FX Market? The Tokyo Experiment. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5936.pdf（1343KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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