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Do currency futures prices follow random walks? · Study

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ArticleDo currency futures prices follow random walks?

Ming‐Shiun Pan1997

Article1997

Do currency futures prices follow random walks?

Ming‐Shiun Pan · Kam C. Chan · Robert C.W. Fok

32 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1987Time Series Regression with a Unit Root 1988Trends and random walks in macroeconomic time series 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’1988How Big Is the Random Walk in GNP?1989The size and power of the variance ratio test in finite samples 1991Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation

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Year1997

Typearticle

Published1997-01-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations32

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0927-5398(96)00010-2

openalex_workW2014605651

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