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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| Format: | Article |
| Language: | English |
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People & Global Business Association (P&GBA)
1998-03-01
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| Series: | Global Business and Finance Review |
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| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150625122502-DOK6Z.pdf |