Intraday Yen/Dollar Exchange Rate Movements:
研究了1980-1986年纽约和东京市场日元/美元汇率的日内波动，发现随机游走行为约半数时间被违反，但偏离的经济意义随时间减弱，且汇率跳跃后存在均值回复，对股市有信息含量。
Intraday movements in the yen/dollar rate are examined over the 1980-1986 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of departures from the random-walk model diminishes over time. Large jumps in the exchange rate also are examined, and some evidence on subsequent mean reversion is presented. Finally, the response of Japanese and U.S. stock prices suggest that intraday yen/dollar rate movements do contain at least some relevant information.