The Opening Price Behavior: Foreign Exchange Futures Market Versus Equity Market

The Opening Price Behavior: Foreign Exchange Futures Market Versus Equity Market

Daily opening, noon, and closing prices of Deutschemark and Japanese yen futures are examined for the efficiency of the foreign exchange futures (FXF) market. Variance ratio and multiple variance ratio tests, are employed. The prices are found to be serially uncorrelated. This random walk behavior s...

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Bibliographic Details
Main Authors: CHU, Quentin C., DING, David K., PYUN, C. S.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1997
Subjects:
Business
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1168
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2167/viewcontent/1_s2.0_S105752199790017X_main.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/1168
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2167/viewcontent/1_s2.0_S105752199790017X_main.pdf

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