Pricing in the Euroyen market is based on LIBOR, the London Interbank Offer Rate, set at 11am London time or TIBOR, the Tokyo Interbank Offer Rate, set at 11am Tokyo time. Since the TIBOR panel is dominated by Tokyo city banks while the LIBOR panel is dominated by non-Japanese banks, the...

We identify a period in the foreign exchange market when there is a high concentration of informed yen/dollar traders active in Tokyo. We exploit the data during this period to test implications of market-microstructure theory. Comparing the period of informed trader clustering to a similar...

Pricing in the euroyen market is based on LIBOR, the London Interbank Offered Rate, set at 11:00AM London time or TIBOR, the Tokyo Interbank Offered Rate, set at 11:00AM Tokyo time. The changing TIBOR-LIBOR spread reflects the credit risk associated with Japanese banks or the “Japan...

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 informed...