This study examines the dynamic interactions among return volatilities, volume, and market depth for five currency futures markets. We use vector autoregressive analysis (VAR) to identify not only the nature of these relations but also the direction and speed of the information flow between variables. We find that return volatility is subject to strong reversal effects from trading volume and market depth. The results also indicate that the volatility appears to have predictive power on volume but not on market depth. Furthermore, this study finds that volume and depth are not endogenously determined, as their lead-lag relationship is asymmetrical. We also observe an increasing trend of integration between offshore and domestic information that affects the movement of currency futures prices.