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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Veröffentlicht in:	International review of financial analysis 1997, Vol.6 (1), p.21-35
Hauptverfasser:	Chu, Quentin C., Ding, David K., Pyun, C.S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Commodity futures Commodity prices Efficiency Efficient markets Equity Foreign exchange futures Futures market Futures trading Hedging Hypotheses Investigations Macroeconomics Market prices Price variance Ratios Securities markets Statistical analysis Stock exchanges Stock prices Studies Time series
Online-Zugang:	Volltext
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