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Information transmission across currency futures markets: Evidence from frequency domain tests

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  • Ciner, Cetin

Abstract

We investigate return and volatility spillovers across the currency futures markets utilizing recently developed frequency domain tests. Our analysis permits to differentiate between permanent and transitory linkages between the markets by examining high and low frequency dynamics. We identify significant informational dependencies between the euro, yen, Swiss franc and pound futures markets, which should be important for market participants and policy makers.

Suggested Citation

  • Ciner, Cetin, 2011. "Information transmission across currency futures markets: Evidence from frequency domain tests," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 134-139, June.
    • Handle: RePEc:eee:finana:v:20:y:2011:i:3:p:134-139
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    References listed on IDEAS

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