This paper tests the martingale hypothesis for daily and weekly rates of change of futures prices for five currencies. Daily data suggests evidence against the null for each currency. Trading day effects in foreign currency futures and spot prices introduce complicated day of the week patterns...

The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified international portfolio of equities. Positive time-varying risk premia are found in all five currencies tested when the...

This paper tests the martingale hypothesis for daily data from the Deutschmark/US dollar futures and spot foreign exchange markets. Time-varying volatility of daily price changes is modelled as conditional heteroskedasticity which is a function of recent news or forecast errors, as in the ARCH...