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Econometric modelling of long-run relationships in the Singapore currency futures market

Listed author(s):
  • Sequeira, John M.
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    The paper investigates the existence of long-run relationships among settlement prices of the three major currency futures, namely Duetsche Mark, Japanese Yen and British Pound, in the currency futures market of the Singapore International Monetary Exchange. Tests of cointegration and vector autoregressive relationships among the variables are conducted. The stationarity property of each series is tested using the augmented Dickey-Fuller test, from which it is found that each of the series is non-stationary. A cointegrating relationship among settlement prices is examined for the underlying long-run economic relationships. Cointegration tests and vector autoregressive models of the rates of return were unable to establish any long-run relationships among the variables. Thus, there is no empirical evidence, in general, indicating that long-run relationships exist among the settlement prices for individual currency futures in Singapore.

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    File URL: http://www.sciencedirect.com/science/article/pii/S037847549700027X
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    Article provided by Elsevier in its journal Mathematics and Computers in Simulation (MATCOM).

    Volume (Year): 43 (1997)
    Issue (Month): 3 ()
    Pages: 421-427

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    Handle: RePEc:eee:matcom:v:43:y:1997:i:3:p:421-427
    DOI: 10.1016/S0378-4754(97)00027-X
    Contact details of provider: Web page: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/

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    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters,in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
    3. Alexander, CO & A Johnson, 1992. "Are foreign exchange markets really efficient?," Discussion Papers in Economics 10/92, Department of Economics, University of Sussex.
    4. MacDonald, Ronald & Taylor, Mark P., 1989. "Foreign exchange market efficiency and cointegration : Some evidence from the recent float," Economics Letters, Elsevier, vol. 29(1), pages 63-68.
    5. Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. " On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 727-735, June.
    6. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    7. Alexander, C. O. & Johnson, A., 1992. "Are foreign exchange markets really efficient?," Economics Letters, Elsevier, vol. 40(4), pages 449-453, December.
    8. Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-1056, September.
    9. Coleman, Mark, 1990. "Cointegration-based tests of daily foreign exchange market efficiency," Economics Letters, Elsevier, vol. 32(1), pages 53-59, January.
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