Modelling Yen Futures Return Using Daily Data From IMM and Simex

This paper examines the martingale behaviour in the Yen Futures return trading at the two exchanges, SIMEX and IMM. The IMM exchange is the larger and more established of the two exchanges. It is, therefore, hypothesised that IMM exhibits a higher rate of information flow than that of SIMEX. This hypothesis is tested by modelling the conditional heteroscedasticity in the return series as a GARCH(1, 1) process. The results reject the martingale behaviour in the return but find a causal link between the return series across the exchanges. No evidence of higher rate of information flow in IMM is, however, detected.