Abstract
The paper employs cointegration and the associated error-correction model to examine the weak-form joint efficiency in forward and futures markets for the British pound, the German mark, the Japanese yen, the Canadian dollar, and the Swiss franc. The paper utilizes high frequency daily data on forward and futures prices of each currency for the period December 1, 1987 to October 16, 1989. The empirical findings, based upon the DW and the ADF tests in conjunction with the estimates of error-correction models, suggest that the forward and the futures markets for the British pound, the Japanese yen, and the Swiss franc are jointly efficient at the 1% level of significance. In contrast, the markets for the German mark and the Canadian dollar are found to be jointly weak-form inefficient at all conventional levels of significance.
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