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Risk Premia in Foreign Currency Futures: A Reexamination

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  • Tse, Yiuman
  • Booth, G Geoffrey

Abstract

This paper re-examines the significant autocorrelation results of foreign currency futures reported by Liu and He in this journal. It argues that extremely thin trading early in the life of individual futures contracts induces unreliable results in Liu and He. Moreover, the Monte Carlo results clarify the power performance between Lo and MacKinlay's variance ratio tests and Diebold's Q-statistics; both tests are used by Liu and He. Copyright 1996 by MIT Press.

Suggested Citation

  • Tse, Yiuman & Booth, G Geoffrey, 1996. "Risk Premia in Foreign Currency Futures: A Reexamination," The Financial Review, Eastern Finance Association, vol. 31(3), pages 521-534, August.
    • Handle: RePEc:bla:finrev:v:31:y:1996:i:3:p:521-34
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    Cited by:

    1. Inci, Ahmet Can, 2008. "The Japanese yen futures returns, spot returns, and the risk premium," Global Finance Journal, Elsevier, vol. 18(3), pages 385-399.
    2. Inci, Ahmet Can, 2005. "ERM effects on currency spot and futures markets," Global Finance Journal, Elsevier, vol. 16(2), pages 145-163, December.
    3. Inci, Ahmet Can & Lu, Biao, 2007. "Currency futures-spot basis and risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 180-197, April.
    4. Yiuman Tse & Michael R. Williams, 2013. "Does Index Speculation Impact Commodity Prices? An Intraday Analysis," The Financial Review, Eastern Finance Association, vol. 48(3), pages 365-383, August.

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