Foreign currency futures
نویسندگان
چکیده
منابع مشابه
Foreign Currency Futures
The 1heoretical na1ure of risk premiums in roreign currency futures markets is derived and s1udied empirically. Eslimation problems encountered in using futures da1a are discussed. Since forward rates and fu1ures prices have been found to be approximately equal, and because risk premiums in forward markets are highly variable, consistency of the data requires time variation in daily risk premiu...
متن کاملTime-Varying Risk Premia in the Foreign Currency Futures Basis
Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets. The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign currency futures basis. The specific source of risk...
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Since financial derivatives are key instruments for risk taking as well as risk reduction, it is only straightforward to examine their role in currency crises. This paper addresses this issue by investigating the impact of currency futures trading on the underlying exchange rates. After a discussion of trading mechanisms and trader types, the linkage between futures trading activity and spot ma...
متن کاملTests of the Martingale Hyf’othesis for Foreign Currency Futures with Time-varying Volatility
The martingale hypothesis for daily and weekly rates of change of futures prices for five currencies is tested in this paper. With daily data, we find some evidence against the null hypothesis for each currency. Although institutionally imposed limits on daily price changes were binding fairly often in the earlier years of the sample, the results are not substantially different when data affect...
متن کاملMultiFractality in Foreign Currency Markets
The standard hypothesis concerning the behavior of asset returns states that they follow a random walk in discrete time or a Brownian motion in continuous time. The Brownian motion process is characterized by a quantity, called the Hurst exponent, which is related to some fractal aspects of the process itself. For a standard Brownian motion (sBm) this exponent is equal to 0.5. Several empirical...
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ژورنال
عنوان ژورنال: Journal of International Economics
سال: 1987
ISSN: 0022-1996
DOI: 10.1016/0022-1996(87)90020-1