RATIONALITY OF SURVEY DATA AND TESTS FOR MARKET-EFFICIENCY IN THE FOREIGN-EXCHANGE MARKETS

被引：48

作者：

LIU, PC ^{[1
]}

MADDALA, GS ^{[1
]}

机构：

[1] UNIV FLORIDA,DEPT ECON,GAINESVILLE,FL 32611

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1992年 / 11卷 / 04期

关键词：

D O I：

10.1016/0261-5606(92)90030-2

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper tests the rational expectations hypothesis (REH) and the market efficiency hypothesis (MEH) in the foreign exchange markets, using survey data on expectations. Our results show that the spot exchange rates, expected exchange rates, and the forward rates all follow a random walk process. Hence, the cointegration theory is employed to test the REH and MEH. All the test statistics support the REH but fail to support the MEH. We use survey data on expectations to identify the causes behind this failure of the MEH. (JEL F31, G14).

引用

页码：366 / 381

页数：16

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