COINTEGRATION AND INTERMARKET PRICE CHANGE RELATIONS IN THE EXCHANGE MARKET
Using transactions data on the British Pound, Deutsche Mark, and Japanese Yen in 1994, this study examines the lead/lag relations among the currency spot, option, futures, andfutures option markets. This study is important due to rhe scope ofmarket linkages examined and the number ofcurrencies consi...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
1996-09-01
|
| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150626020254-J71HX.pdf |