Modelling Yen Futures Return Using Daily Data From IMM and Simex
This 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.
|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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- anonymous, 1980. "New Zealand economic chronology 1979," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 43, january/f.
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
- McCurdy, Thomas H. & Morgan, Ieuan G., 1987.
"Tests of the martingale hypothesis for foreign currency futures with time-varying volatility,"
International Journal of Forecasting,
Elsevier, vol. 3(1), pages 131-148.
- Thomas H. McCurdy & Ieuan G. Morgan, 1986. "Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility," Working Papers 663, Queen's University, Department of Economics.
- Doukas, John & Rahman, Abdul, 1987. "Unit Roots Tests: Evidence from the Foreign Exchange Futures Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 101-108, March.
- McCurdy, Thomas H & Morgan, Ieuan G, 1988. "Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(3), pages 187-202, July-Sept.
- Harris, Lawrence, 1987. "Transaction Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 127-141, June.
- Meenakshi Venkateswaran & B. Wade Brorsen & Joyce A. Hall, 1993. "The distribution of standardized futures price changes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(3), pages 279-298, 05.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- G. Wenchi Kao & Christopher K. Ma, 1992. "Memories, heteroscedasticity, and price limit in Currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(6), pages 679-692, December.
- Robert J. Hodrick & Sanjay Srivastava, 1985.
"Foreign Currency Futures,"
NBER Working Papers
1743, National Bureau of Economic Research, Inc.
- So, Jacky C, 1987. "The Sub-Gaussian Distribution of Currency Futures: Stable Peretian or Nonstationary?," The Review of Economics and Statistics, MIT Press, vol. 69(1), pages 100-107, February.
- W. L. Randolph & Mohammad Najand, 1991. "A test of two models in forecasting stock index futures price volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(2), pages 179-190, 04.
- Anonymous & Hillman, Jimmye S., 1980. "Macroeconomic Linkages to Agricultural Trade," 1980: Macroeconomic Linkages to Agricultural Trade Meeting, December 1980, Tucson, AZ 52378, International Agricultural Trade Research Consortium.
- anonymous, 1980. "What’s wrong with macroeconomics," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum.
- anonymous, 1980. "The New Zealand economy - six monthly review," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 43, may.
- Anonymous, 1980. "The Biologic and Economic Assessment of Diallate," Technical Bulletins 157725, United States Department of Agriculture, Economic Research Service.
When requesting a correction, please mention this item's handle: RePEc:uts:wpaper:39. 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: (Duncan Ford)
If references are entirely missing, you can add them using this form.