Name
Title | ||
|---|---|---|
Long run and short run test for market efficiency: Evidence for the British Pound, the German Mark and the Japanese Yen |
Abstract | ||
|---|---|---|
This study tests the market efficiency hypothesis through the cointegration methodology using forward rates and spot exchange
rates of different maturities for the British Pound, the Japanese Yen, and the German Mark exchange market against the USA
Dollar. Results indicate that the foreign exchange market is efficient in the long run but we reject the Forward Rate Unbiasedness
Hypothesis in the short run, and as a result the spot rate is not an unbiased forecast of the forward rate. These results
have significant implications for the government policy makers and these currencies’ foreign exchange markets. |
Year | DOI | Venue |
|---|---|---|
2006 | 10.1007/BF02941230 | Operational Research |
Keywords | DocType | Volume |
spot and forward exchange rates.,market efficiency,cointegration analysis | Journal | 6 |
Issue | ISSN | Citations |
2 | 1866-1505 | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Dimitris Kenourgios | 1 | 0 | 0.34 |
| Aristeidis Samitas | 2 | 3 | 0.90 |
| Andreas Christodoulou | 3 | 0 | 0.34 |