Time series analysis of settlement prices for individual currency futures in Singapore

• Main Author: SEQUEIRA, J. M.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1996
• Subjects: Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5078
• Institution: Singapore Management University

This paper investigates the efficiency of the currency futures market in the Singapore International Monetary Exchange. The weak sense of market efficiency is tested, with the random walk model being used as the benchmark for comparing univariate models fitted to the three major currency futures, na...