## 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
Memories, heteroscedasticity, and price limit in Currency futures markets
β Scribed by G. Wenchi Kao; Christopher K. Ma
- Publisher
- John Wiley and Sons
- Year
- 1992
- Tongue
- English
- Weight
- 877 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICA
This paper studies the lead-lag relationship between speculation and hedging activity in six currency futures markets. The relations between (i) total speculation (long plus short) and total hedging (long plus short), (ii) long speculation and short hedging, and (iii) short speculation and long hedg