Abstract
This paper examines the random walk process for four currency futures prices for the period 1977–1987 by using the variance ratio test. The random walk hypothesis is tested through asymptotic standardized statistics as well as by computing the significance level based on the bootstrap method. Both long time-series prices and individual contract prices for four currency futures, the British pound, the German mark, the Japanese yen, and the Swiss franc are analyzed. The results provide little evidence against the random walk null hypothesis, though non-randomness is documented in the Japanese yen. Additionally, the currency futures markets apparently become more efficient as markets mature over time.
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