Modelling Yen Futures Return Using Daily Data From IMM and Simex
AbstractThis paper examines the martingale behaviour in the Yen Futures return trading at the two exchanges, SIMEX and IMM. The IMM exchange is the larger and more established of the two exchanges. It is, therefore, hypothesised that IMM exhibits a higher rate of information flow than that of SIMEX. This hypothesis is tested by modelling the conditional heteroscedasticity in the return series as a GARCH(1, 1) process. The results reject the martingale behaviour in the return but find a causal link between the return series across the exchanges. No evidence of higher rate of information flow in IMM is, however, detected.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Finance Discipline Group, UTS Business School, University of Technology, Sydney in its series Working Paper Series with number 39.
Length: 22 pages
Date of creation: 01 Oct 1994
Date of revision:
Contact details of provider:
Postal: PO Box 123, Broadway, NSW 2007, Australia
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.uts.edu.au/about/uts-business-school/finance
More information through EDIRC
martingale property; ARCH; GARCH; wald test; volume price-exchange; omitted variable test; orthogonal;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford).
If references are entirely missing, you can add them using this form.