Empirical Evidence on International Monetary Market Currency Futures

Don B Panton and O Maurice Joy
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Don B Panton: University of Kansas
O Maurice Joy: University of Kansas

Journal of International Business Studies, 1978, vol. 9, issue 2, 59-68

Abstract: This paper empirically investigates three questions concerning currency futures traded on the International Monetary Market (IMM) of the Chicago Mercantile Exchange: 1) Are currency future prices consonant with the interest rate parity theorem? 2) Does a characteristic bias exist in the currency futures prices? 3) What has been the holding period return experience of currency futures since their inception on the IMM?© 1978 JIBS. Journal of International Business Studies (1978) 9, 59–68

Date: 1978
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