Evidence of information transmission across currency futures markets using frequency domain tests

•I examine the return and volatility spillovers in the Indian currency futures market.•The analysis is based upon the use of frequency domain tests.•USD is the most influential currency in terms of return spillovers.•The results of volatility spillover suggest high influence of EUR on other currencies.

In this article, I examine the returns and volatility spillovers in the currency futures market incorporating the recently developed frequency domain tests. Such analysis allows differentiating between permanent (long-run) and transitory (short-run) linkages among the currency futures markets by investigating the causality dynamics at low and high frequencies respectively. I detect significant informational linkages between USD, EUR, GBP and JPY futures contracts in the Indian currency futures market. Evidence of innovations from USD futures market to other markets is the most significant for returns spillover and for volatility spillover, EUR is found to be the most significant compared to other currency futures contracts. The results would have implications for the market participants and policymakers.