Tests of the martingale hypothesis for foreign currency futures with time-varying volatility
This paper tests the martingale hypothesis for daily and weekly rates of change of futures prices for five currencies. Daily data suggests evidence against the null for each currency. Trading day effects in foreign currency futures and spot prices introduce complicated day of the week patterns in futures prices. For this reason, we retest the martingale hypothesis using weekly data and reject the null for only one currency. For this currency, one interpretation is that of a time-varying risk premium.
(This abstract was borrowed from another version of this item.)
When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:3:y:1987:i:1:p:131-148. See general 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: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.