Publication Type
Journal Article
Version
publishedVersion
Publication Date
1-1997
Abstract
Daily opening, noon, and closing prices of Deutschemark and Japanese yen futures are examined for the efficiency of the foreign exchange futures (FXF) market. Variance ratio and multiple variance ratio tests, are employed. The prices are found to be serially uncorrelated. This random walk behavior sheds light on the differences between the FXF and commodity or equity markets. The conclusions suggest that the FXF market is a 24-hour global market, reflecting a disparity with equity markets where round-the-clock trading is advocated since the high volatility during market opening would be eliminated, leading to potential cost reductions for traders as spreads are lowered.
Discipline
Business | Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
International Review of Financial Analysis
Volume
6
Issue
1
First Page
21
Last Page
35
ISSN
1057-5219
Identifier
10.1016/s1057-5219(97)90017-x
Publisher
Elsevier
Citation
CHU, Quentin C.; DING, David K.; and PYUN, C. S..
The Opening Price Behavior: Foreign Exchange Futures Market Versus Equity Market. (1997). International Review of Financial Analysis. 6, (1), 21-35.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1168
Copyright Owner and License
Publisher
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/s1057-5219(97)90017-x