Efficiency in Currency Futures Markets SURE vs. FIML Estimates |
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Authors: | SERDAR A. AVSAR |
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Abstract: | The major aim of this paper is to determine the appropriate estimation technique for testing the market efficiency hypothesis. The weak and semi-strong forms of the market efficiency hypothesis have been tested for five actively traded futures currency markets for the period 1974-86. The test has been carried out under the assumption of a constant risk premium. |
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