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Efficiency in Currency Futures Markets SURE vs. FIML Estimates

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  • SERDAR A. AVSAR

Abstract

The major aim of this paper is to determine the appropriate estimation technique for testing the market efficiency hypothesis. The weak and semi‐strong forms of the market efficiency hypothesis have been tested for five actively traded futures currency markets for the period 1974‐86. The test has been carried out under the assumption of a constant risk premium.

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  • Serdar A. Avsar, 1992. "Efficiency in Currency Futures Markets SURE vs. FIML Estimates," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 130-134, December.
    • Handle: RePEc:bla:ecorec:v:68:y:1992:i:s1:p:130-134
    DOI: 10.1111/j.1475-4932.1992.tb02300.x
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    References listed on IDEAS

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    1. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
    2. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    3. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 335-359.
    4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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