FUTURE DOLLAR MARKET EFFICIENCY IN MÉXICO

Abstract

An inefficient market can result in systematic losses for its players. Hence, in this research, it is tested the efficiency of the market dollar future in México. The results show that the aforementioned derivative market, operated at the (MEXDER), is efficient. This is obtained after applying the rational expectations approach proposed by Mckenzie and Holt (1988) and the cointegration principle proposed by Engle and Granger (Greene, 1999). To achive efficiency in the exchange market implies the establishment of competitive headging on exchange range variations.

Palabras clave: Hedge, cointegration, risk

Volumen 2, Número 1
Ene-Jun 2005

Director

Said Infante Gil

Comité Asesor Editorial Interno

Ma. Eugenia Chávez Arellano
Juan Antonio Leos Rodríguez
Jaime Matus Gardea
Jacinta Palerm Viqueira
Verónica Vázquez García
Emma Zapata Martelo
Pilar Alberti Manzanares