Detail Asymmetric information and foreign exchange market microstructure Bibliografi Author: Melvin, Michael (Advisor); Covrig, Vicentiu Marian Topik: ECONOMICS; FINANCE|ECONOMICS; GENERAL|ECONOMICS; THEORY Bahasa: (EN )    ISBN: 0-599-23522-5     Penerbit: Arizona State University     Tahun Terbit: 1999     Jenis: Theses - Dissertation Fulltext: 9923934.pdf (0.0B; 2 download) Abstract Empirical tests of private information in the foreign exchange market are lacking due to the problem of identifying the “informed” traders and when and where they trade. This paper identifies a period in the foreign exchange market when there is a high concentration of informed yen/dollar traders active in Tokyo. Implications of market-microstructure models are tested by using a Reuters quote-by-quote data set. Comparing the period of informed trader clustering to a similar period without the informed, there are found the following empirical regularities: (1) Exchange rate quotes adjust to full-information levels six times faster when the informed are active than when they are not. (2) Japanese quotes tend to lead the rest of the market when the informed are active. At other times, two-way causality is observed in quotes. (3) 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. These results are consistent with a view of the foreign exchange market where private information is at times quite important, yet “normal” times are characterized as periods where public information, shared equally by all, results in a high contemporaneous correlation across quotes, regardless of origin. An important feature of any high frequency data set, including the one used for this research, is that it contains prices/quotes observed at irregular time periods and this creates problems for the econometrician. This research analyzes in detail this problem, also called “nonsynchronous quoting”, and demonstrates how it could lead to spurious cross-correlations between the returns of a risky asset (e.g. the exchange rate) traded simultaneously in two markets when there is no private information and the public information releases are observed simultaneously by all market participants. The dissertation contains also a theoretical microstructure model that explores lead-lag effects among the quotes of one asset traded in two markets. The key feature of the model is that the private information is revealed sequentially, in two periods, and that the quotes convey a noisy signal about the private information in the respective market. As a consequence, depending on the degree of information asymmetry between markets there exists cross-correlation and lead/lag effects between markets. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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