Ozun, Alper; Erbaykal, Erman - In: Journal of Risk Finance 10 (2009) August, pp. 365-376
Purpose – The purpose of this paper is to analyze cointegration and causality relationships between spot and futures markets in Turkish foreign-exchange markets. Design/methodology/approach – The research employs Bounds cointegration test and Toda-Yamamoto causality test to detect a possible...