Pukthuanthong, Kuntara; III, Lee R. Thomas; Bazan, Carlos - In: International Journal of Managerial Finance 3 (2007) July, pp. 263-286
Purpose – Recent research indicates that the random walk hypothesis (RWH) approximately describes the behavior of major dollar exchange rates during the post-1973 float. The present analysis seeks to examine the profitability of currency futures trading rules that assume that spot exchange...