A note on the foreign exchange market efficiency hypothesis

被引：0

作者：

Dutt S.D. ^{[1
]}

Ghosh D. ^{[2
]}

机构：

[1] Department of Economics, Richards College of Business, State University of West Georgia, Carrollton

[2] Division of Management, Marketing, Finance, and Economics, Emporia State University, Box 4058, 1200 Commercial Street, Emporia

来源：

Journal of Economics and Finance | 1999年 / 23卷 / 2期

关键词：

Exchange Rate; Unit Root; Cointegration Test; Forward Rate; European Economic Community;

D O I：

10.1007/BF02745949

中图分类号：

学科分类号：

摘要：

This paper examines the weak and strong forms of the foreign exchange market efficiency hypothesis (MEH) (as defined in the paper) using the recently available Harris-Inder null of cointegration procedure, which is powerful enough to distinguish between cointegration and near cointegration, and thus provide more robust results than conventional cointegration tests. Our results indicate that both forms of the MEH are rejected for all the major currencies of the European Economic Community (EEC).

引用

页码：157 / 161

页数：4

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