CROSS-SPECULATION IN CURRENCY FUTURES MA
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Andreas RΓΆthig
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Article
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2011
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John Wiley and Sons
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English
β 393 KB
## ABSTRACT This paper studies crossβmarket herding of speculators in the Canadian dollar, Swiss francs, British pound and Japanese yen futures markets from 6 October 1992 to 26 January 2010. The relations between (i) total speculation (long plus short), (ii) long speculation and (iii) short specul