Comovement of International Equity Markets: A Taxonomic Approach

© 1976 University of Washington School of Business Administratio

Empirical Evidence on International Monetary Market Currency Futures

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