Abstract
Abstract The paper investigates the existence of long-run relationships among settlement prices of the three major currency futures, namely Duetsche Mark, Japanese Yen and British Pound, in the currency futures market of the Singapore International Monetary Exchange. Tests of cointegration and vector autoregressive relationships among the variables are conducted. The stationarity property of each series is tested using the augmented Dickey-Fuller test, from which it is found that each of the series is non-stationary. A cointegrating relationship among settlement prices is examined for the underlying long-run economic relationships. Cointegration tests and vector autoregressive models of the rates of return were unable to establish any long-run relationships among the variables. Thus, there is no empirical evidence, in general, indicating that long-run relationships exist among the settlement prices for individual currency futures in Singapore.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
