COINTEGRATION AND MARKET-EFFICIENCY - A TIME-SERIES ANALYSIS OF THE GREEK DRACHMA

被引：1
|
作者：
DIAMANDIS, PF [1 ]
KOURETAS, GP [1 ]
机构：
[1] UNIV CRETE,DEPT ECON,GR-74100 RETHIMNON,GREECE
来源：
APPLIED ECONOMICS LETTERS | 1995年 / 2卷 / 08期
关键词：
D O I：
10.1080/135048595357212
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We use multivariate cointegration techniques to examine market efficiency with respect to five bilateral exchange rates of the Greek drachma. The conclusion is that the five exchange rates possess one long-run relationship and that the existence of the cointegration relation is not affected by temporal instability. The market efficiency hypothesis is therefore rejected.
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页码：271 / 277
页数：7
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