THE EFFICIENCY OF FOREIGN EXCHANGE FUTURES MARKETS: EVIDENCE FROM COINTEGRATION TESTS

THE EFFICIENCY OF FOREIGN EXCHANGE FUTURES MARKETS: EVIDENCE FROM COINTEGRATION TESTS

This study investigates the efficiency of futures markets for foreign currencies using the technique of cointegrationforfiveactively-tradedcurrencies. Threetestsareused:(1)cointegrationtestsonthefuturesandspot prices ofthefive currencies; (2) cointegration tests ofthefutures and spot prices on each...

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Bibliographic Details
Main Author: Ahmad Sohrabian
Format: Article
Language:English
Published: People & Global Business Association (P&GBA) 1998-03-01
Series:Global Business and Finance Review
Subjects:
efficiency of future markets
foreign currencies
Online Access:http://www.gbfrjournal.org/pds/journal/thesis/20150625122502-DOK6Z.pdf

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