Efficiency in Currency Futures Markets SURE vs. FIML Estimates

Serdar A. Avsar

The Economic Record, 1992, vol. 68, issue S1, 130-134

Abstract: The major aim of this paper is to determine the appropriate estimation technique for testing the market efficiency hypothesis. The weak and semi‐strong forms of the market efficiency hypothesis have been tested for five actively traded futures currency markets for the period 1974‐86. The test has been carried out under the assumption of a constant risk premium.

Date: 1992
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https://doi.org/10.1111/j.1475-4932.1992.tb02300.x

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