Efficiency of currency futures markets: an anomaly study.

Summary The purpose of the thesis is to study the efficiency of the International Monetary Market currency futures market from 1982 to 1992 (6 currencies). The day of the week and month of the year anomalies are unfounded in contrast to the year change effect. The futures market gives a biased forecast of the future spot price. The magnitude of the bias seems to increase with the maturity of the contract and the introduction of an additional variable (spot price) does not improve the forecasting ability. Deferral and postponement are non-randomly distributed. The hypothesis of an influence of the risk premium (constant) cannot be retained. The market is either influenced by a variable risk premium or is inefficient for long maturities. While the martingale model based on unit roots provides the best explanation, for almost a third of the contracts alternative models are superior. The period remaining until the maturity of the contracts has a marginal influence on the discount. The thesis demonstrates the principle of equivalence of futures and forward markets for currency contracts, in contradiction with the Cox-Ingersoll-Ross hypothesis.