Is There Private Information on the FX Market ? The Tokyo Experiment
Is There Private Information on the FX Market ? The Tokyo Experiment
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发表时间：
1997
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通讯作者：
Takatoshi Ito;Richard K. Lyons;Michael Melvin
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作者：
Takatoshi Ito;Richard K. Lyons;Michael Melvin
人们普遍认为，外汇市场上不存在私人信息。我们提供了反对这一观点的证据。证据来自东京引入的午餐时间交易。随着交易的引入，午餐收益方差增加了一倍，这不可能是由于公开信息，因为公开信息的流向并没有随着交易规则的改变而改变。在排除了公共信息作为原因之后，我们利用微观结构的最新结果来区分两种选择：私人信息和定价错误。三个关键结果支持私有信息模型的预测。首先，Ushape的波动性趋于平缓：午餐时披露的信息越多，上午和下午的份额就越小。其次，u型向上倾斜，这意味着信息的私有价值是短暂的。最后，当东京在午餐时间收盘时，早盘呈现出明显的u型曲线，而当交易开始时，它就消失了。通讯教授Richard K. Lyons Haas商学院，伯克利加州94720-1900电话：510-642-1059，传真：510-643-1420电子邮件：lyons@haas.berkeley.edu *各自隶属于一桥大学和国家经济研究局；加州大学伯克利分校和国家经济研究局；以及亚利桑那州立大学。我们感谢以下宝贵的意见：一位匿名的推荐人，Kathryn Dominguez, Silverio Foresi, Jeff Frankel, Paul Pfleiderer, Andy Rose, Matt Spiegel, ren<s:1> Stulz，以及圣克鲁斯，伦敦经济学院，伯克利，纽约联邦银行，罗格斯，斯坦福，国际货币基金组织，亚利桑那州，加州大学圣地亚哥分校，斯德哥尔摩，ECARE，日内瓦，图卢兹，林堡，美国国家经济研究局和1997年AEA会议的与会者。Lyons感谢美国国家科学基金会和伯克利金融项目提供的财政援助。
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 microstructure to discriminate between the two alternatives: private information and pricing errors. Three key results support the predictions of private-information models. First, the volatility Ushape 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. 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: lyons@haas.berkeley.edu ∗ Respective affiliations are Hitotsubashi University and NBER; UC Berkeley and NBER; and Arizona State University. We thank the following for valuable comments: an anonymous referee, Kathryn Dominguez, Silverio Foresi, Jeff Frankel, Paul Pfleiderer, Andy Rose, Matt Spiegel, René Stulz, and seminar participants at Santa Cruz, LSE, Berkeley, FRBNY, Rutgers, Stanford, the IMF, Arizona, UCSD, Stockholm, ECARE, Geneva, Toulouse, Limburg, the NBER, and the 1997 AEA Meetings. Lyons thanks the National Science Foundation and the Berkeley Program in Finance for financial assistance.