【毕业设计外文翻译用----金融市场微观结构外文文献】ito-lyons-m96tokyo.doc

Is There Private Information in the FX Market?
The Tokyo Experiment
Takatoshi Ito* Respective affiliations

Richard K. Lyons
Michael T. Melvin
This draft: July 1996
Abstract
It is mon view that private information in the foreign exchange market does not exist. We provide evidence against this view. The es from the introduction of trading in Tokyo over the lunch-hour. Lunch-hour 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 private information that is transitory in nature. Finally, there is a clear U-shape in the morning when Tokyo closes over lunch which disappears with the lunch-hour opening as a full-day U-shape is established.
Correspondence
Professor Richard K. Lyons
Haas School of Business, UC Berkeley
Berkeley, CA 94720-1900
Tel: 510-642-1059, Fax: 510-643-1420
E-mail: ******@
Is There Private Information in the FX Market?
The Tokyo Experiment
1. Introduction
It is mon view that all participants in the foreign exchange market are projecting on the same public information set. A corollary is that private information is irrelevant. This paper provides evidence against this view. The es from the Tokyo foreign exchange (FX) market, which until recently was restricted from trading over the lunch break (12:00 to 1:30).
For that y minutes the Tokyo interbank market shut down. In 1994, however, the restriction was abolished. This introduction of trading provides new insigh