Efficiency of foreign exchange markets: an analysis of the risk premium in [dollar]/SF futures contracts

Analyse: The efficient market hypothesis is tested using both a forward looking proxy of the risk premium and data on currency futures/-options contracts.
The intertemporal representative consumer model generates a "risk premium" that separates forward/futures prices from expected future spot rates. This approach forms the theoretical framework for the argument that a valid empirical representation for the risk premium is the implied volatility derived from observed options prices. The resulting test equation is estimated and contrasted with a variety of traditional specifications, after a review of the empirical literature on the efficient market hypothesis applied to foreign exchange rates.
Distributional and times series regularities of daily price changes from Swiss Franc/US[dollar] exchange rate futures contracts are examined. Some light is shed on the debate about whether currency prices are generated in calendar or trading time by testing for the existence of weekend effects and dissecting 24-hour calendar time periods.


Publication infos:
Genève, IUHEI, 1993
Publication year:
1993
Number of pages:
120 p.
PhD Director(s):
Directeur de thèse: Professeur Hans Genberg
Call number:
HEITH 508



 Record created 2011-06-03, last modified 2019-09-30


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