Overnight Price Discovery and the Internationalization of a Currency: The Case of the Korean Won

20 Pages Posted: 15 Dec 2011 Last revised: 29 May 2014

See all articles by Jian-Xin Wang

Jian-Xin Wang

University of Technology Sydney; Financial Research Network (FIRN)

Date Written: March 14, 2014

Abstract

This paper proposes a measure for the level of internationalization of a currency. It is based on the relative share of price discovery, termed the information share, in overnight offshore markets. I show that the overnight offshore markets play an increasingly important role in determining the KRW/USD exchange rate. The information share of the overnight offshore markets has increased from less than 10% in 1999-2000 to above 50% in 2011-2012. The variations in the overnight information share are consistent with variations in overnight market efficiency and investor learning.

Keywords: currency internationalization, price discovery, information share, offshore markets

JEL Classification: F31, F36, G15

Suggested Citation

Wang, Jian-Xin, Overnight Price Discovery and the Internationalization of a Currency: The Case of the Korean Won (March 14, 2014). Pacific-Basin Finance Journal, Vol. 29, September 2014, Available at SSRN: https://ssrn.com/abstract=1972641 or http://dx.doi.org/10.2139/ssrn.1972641

Jian-Xin Wang (Contact Author)

University of Technology Sydney ( email )

UTS Business School
Finance Decipline
Sydney, NSW
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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