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

• 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
• Institution: Singapore Management University

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...