To find a substitute vehicle for a direct investment in currencies, we study the behaviors of six major currency exchange-traded funds (ETFs) and their respective spot and futures markets prior to and during the financial crisis of 2008. Our findings indicate that currency ETFs are near-perfect substitutes for a direct investment in currencies. We observe statistically significant differences in market behavior from the non-crisis subperiod to the crisis subperiod. Notwithstanding these differences, the price discovery of both the spot and the futures currency markets relative to their associated ETFs is overwhelming, consistent, and, to a large extent, similar. Under more stable conditions, the spot and the futures currency markets possess more dominant informational positions relative to their corresponding ETF markets.
