Testing exchange rate efficiency: the case of euro-dollar

被引：3

作者：

Mazzoli, Marco ^{[1
]}

Barducci, Christian ^{[2
]}

机构：

[1] Catholic Univ Piacenza, Fac Econ, Piacenza, Italy

[2] BCC Vita Prod Desk, Milan, Italy

来源：

INTERNATIONAL REVIEW OF APPLIED ECONOMICS | 2009年 / 23卷 / 04期

关键词：

information and market efficiency; foreign exchange;

D O I：

10.1080/02692170902954817

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper tests the semi-strong efficiency of the euro-dollar currency market by introducing a simple heuristic test, based on the 'general-to-specific' methodology and meant to include as two specific sub-cases the 'efficient market hypothesis' (EMH) in the currency market as well as alternative theories implying a time dependent process of propagation of information. According to the results of our nested test, the 'efficient market hypothesis' in the euro-dollar currency market is rejected.

引用

页码：521 / 540

页数：20

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