Foreign Exchange Volume
利用场外市场的新数据集，发现外汇交易量能预测次日货币回报，对投资者有经济价值，且预测力源于与波动率、流动性无关的交易量成分，揭示了信息不对称程度。
Abstract We investigate the information contained in foreign exchange (FX) volume using a novel data set from the over-the-counter market. We find volume helps predict next-day currency returns and is economically valuable for currency investors. Predictability implies a stronger return reversal for currency pairs with abnormally low volume and is driven by the component of volume unrelated to volatility, liquidity, and order flow. We rationalize these findings via a simple model, in which FX volume helps reveal the degree of asymmetric information in currency markets. Testing this prediction shows that asymmetric information is uniform across currency pairs but varies across instruments.