Empirical Evidence on International Monetary Market Currency Futures

This paper empirically investigates three questions concerning currency futures traded on the International Monetary Market (IMM) of the Chicago Mercantile Exchange: 1) Are currency future prices consonant with the interest rate parity theorem? 2) Does a characteristic bias exist in the currency futures prices? 3) What has been the holding period return experience of currency futures since their inception on the IMM?© 1978 JIBS. Journal of International Business Studies (1978) 9, 59–68