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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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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spelling doaj-5bc4d3cf4ec04f4e89ea53d538e472e42021-02-19T00:36:22ZengPeople & Global Business Association (P&GBA)Global Business and Finance Review 1088-69312384-16481998-03-01311324THE EFFICIENCY OF FOREIGN EXCHANGE FUTURES MARKETS: EVIDENCE FROM COINTEGRATION TESTSAhmad Sohrabian0California State Polytechnic University, PomonaThis 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 ofthefive currencies; and (3) estimation and test ofan error-correction modelfor each ofthefive currencyfutures. Resultsfrom tests one and two indicate that spot andfutures marketsfor thefive currencies are not cointegrated, thus, supporting the efficient markethypothesis. Forthelong-termtest,thereisaunitarycointegrationfactorforeachcurrencytested. However, results based on the error-correction model and F-tests on restricted parameters, produce inconsistent results, sug- gesting that the markets are not efficient.http://www.gbfrjournal.org/pds/journal/thesis/20150625122502-DOK6Z.pdfefficiency of future marketsforeign currencies
collection DOAJ
language English
format Article
sources DOAJ
author Ahmad Sohrabian
spellingShingle Ahmad Sohrabian
THE EFFICIENCY OF FOREIGN EXCHANGE FUTURES MARKETS: EVIDENCE FROM COINTEGRATION TESTS
Global Business and Finance Review
efficiency of future markets
foreign currencies
author_facet Ahmad Sohrabian
author_sort Ahmad Sohrabian
title THE EFFICIENCY OF FOREIGN EXCHANGE FUTURES MARKETS: EVIDENCE FROM COINTEGRATION TESTS
title_short THE EFFICIENCY OF FOREIGN EXCHANGE FUTURES MARKETS: EVIDENCE FROM COINTEGRATION TESTS
title_full THE EFFICIENCY OF FOREIGN EXCHANGE FUTURES MARKETS: EVIDENCE FROM COINTEGRATION TESTS
title_fullStr THE EFFICIENCY OF FOREIGN EXCHANGE FUTURES MARKETS: EVIDENCE FROM COINTEGRATION TESTS
title_full_unstemmed THE EFFICIENCY OF FOREIGN EXCHANGE FUTURES MARKETS: EVIDENCE FROM COINTEGRATION TESTS
title_sort efficiency of foreign exchange futures markets: evidence from cointegration tests
publisher People & Global Business Association (P&GBA)
series Global Business and Finance Review
issn 1088-6931
2384-1648
publishDate 1998-03-01
description 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 ofthefive currencies; and (3) estimation and test ofan error-correction modelfor each ofthefive currencyfutures. Resultsfrom tests one and two indicate that spot andfutures marketsfor thefive currencies are not cointegrated, thus, supporting the efficient markethypothesis. Forthelong-termtest,thereisaunitarycointegrationfactorforeachcurrencytested. However, results based on the error-correction model and F-tests on restricted parameters, produce inconsistent results, sug- gesting that the markets are not efficient.
topic efficiency of future markets
foreign currencies
url http://www.gbfrjournal.org/pds/journal/thesis/20150625122502-DOK6Z.pdf
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