Abstract
This study focuses on testing the long-term price behavior of currency futures for the British pound, the Deutsche mark, the Japanese yen, and the Swiss franc for the period 1977-1987. The weak-form efficiency hypothesis holds if currency futures prices reflect all the available information and do not exhibit either short-term or long-term memory. We test the efficiency hypothesis by employing the modified rescaled range analysis to detect long-term persistence. Our fmdings indicate that all the four currency futures exhibit both short-term and long-term dependence. However, when the sample period is segregated into two sub-periods, long-term dependence is detected only for the three European currencies, while short-term memory prevails for all four currencies.