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Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market

✍ Scribed by Graham Elliott; Takatoshi Ito

Book ID
114220941
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
209 KB
Volume
43
Category
Article
ISSN
0304-3932

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Tokyo insiders and the informational eff
Tokyo insiders and the informational efficiency of the yen/dollar exchange rate
✍ Vicentiu Covrig; Michael Melvin πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 118 KB πŸ‘ 1 views

## Abstract When there is a high concentration of informed yen/dollar traders active in Tokyo, theory suggests that there should be a faster adjustment of the yen/dollar exchange rate to the full‐information level. We exploit the data during a period believed to contain a high concentration of info