Modelling Yen Futures Return Using Daily Data From IMM and Simex

Ram Bhar
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Ram Bhar: School of Banking and Finance, University of New South Wales

No 39, Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: This paper examines the martingale behaviour in the Yen Futures return trading at the two exchanges, SIMEX and IMM. The IMM exchange is the larger and more established of the two exchanges. It is, therefore, hypothesised that IMM exhibits a higher rate of information flow than that of SIMEX. This hypothesis is tested by modelling the conditional heteroscedasticity in the return series as a GARCH(1, 1) process. The results reject the martingale behaviour in the return but find a causal link between the return series across the exchanges. No evidence of higher rate of information flow in IMM is, however, detected.

Keywords: martingale property; ARCH; GARCH; wald test; volume price-exchange; omitted variable test; orthogonal (search for similar items in EconPapers)
Pages: 23 pages
Date: 1994-10-01
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