Memory Or Random Walk in Currency Futures Market

Résumé du livre

A large set of literature empirically examines the statistical property of the time series behavior on exchange rate changes. A number of findings supports the random walk hypothesis. However, research on the price dynamics of currency futures markets is relatively less intensive and provides conflicting results. This paper has adopted several test procedures: the classical rescaled range analysis, the modified rescaled range analysis and the modified variance-ration analysis to examine the longe-term and short-term stochastic dependence of currency futures price. The results indicate that the currency futures prices in the sample follow essentially a random walk. This is different from the recent findings in Kao an Ma (1992) and Liu and He (1992).