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Unit Roots Tests: Evidence from the Foreign Exchange Futures Market

Published online by Cambridge University Press:  06 April 2009

John Doukas  and
Abdul Rahman
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Abstract

In this paper, tests are conducted for the presence of unit roots in the autoregression representation of foreign exchange currency futures price series. The results obtained from five different currency futures over the 1977–1983 period suggestthat foreign currency futures rates have autoregressive representations with a singleunit root (i.e., borderline nonstationarity). In view of this result, it appears thatthe process generating the natural logarithm of foreign currency futures rates may well be approximated by random walks.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 1 , March 1987 , pp. 101 - 108
Copyright
Copyright © School of Business Administration, University of Washington 1987

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References

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