Risk Premia in Foreign Currency Futures: A Reexamination

Yiuman Tse and G Geoffrey Booth

The Financial Review, 1996, vol. 31, issue 3, 521-34

Abstract: This paper re-examines the significant autocorrelation results of foreign currency futures reported by Liu and He in this journal. It argues that extremely thin trading early in the life of individual futures contracts induces unreliable results in Liu and He. Moreover, the Monte Carlo results clarify the power performance between Lo and MacKinlay's variance ratio tests and Diebold's Q-statistics; both tests are used by Liu and He. Copyright 1996 by MIT Press.

Date: 1996
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