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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1997
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| Subjects: | |
| 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 |