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Journal of Economics and Finance
Volumn 23, Issue 2, 1999, Pages 157-161
A note on the foreign exchange market efficiency hypothesis
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Indexed keywords

EID: 0011344066     PISSN: 10550925     EISSN: 19389744     Source Type: Journal    
DOI: 10.1007/BF02745949     Document Type: Article
Times cited : (8)
References (9)
  • 1
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    • Likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey, David A. and Wayne A. Fuller. 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root." Econometrica 49: 1057-72.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 2
    • 21844489871 scopus 로고
    • The foreign exchange market efficiency hypothesis: Revisiting the puzzle
    • Dutt, Swarna D. 1994. "The Foreign Exchange Market Efficiency Hypothesis: Revisiting the Puzzle, Economics Letters 45: 459-65.
    • (1994) Economics Letters , vol.45 , pp. 459-465
    • Dutt, S.D.1
  • 3
    • 5744240732 scopus 로고
    • Are forward rates free of the risk premium? An empirical examination
    • -.and Dipak Ghosh. 1995. "Are Forward Rates Free of the Risk Premium? An Empirical Examination." International Economic Journal 9: 49-60.
    • (1995) International Economic Journal , vol.9 , pp. 49-60
    • Ghosh, D.1
  • 4
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation and testing
    • Engle, Robert F. and Clive W. J. Granger. 1987. "Cointegration and Error Correction: Representation, Estimation and Testing." Econometrica 55:251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 5
    • 0001271329 scopus 로고
    • A test of the null hypothesis of cointegration
    • edited by Colin Hargreaves, Oxford University Press
    • Harris, David and Brett Inder. 1994. "A Test of the Null Hypothesis of Cointegration." In Non-stationary Time Series Analysis and Cointegration, edited by Colin Hargreaves, pp. 133-52. Oxford University Press.
    • (1994) Non-stationary Time Series Analysis and Cointegration , pp. 133-152
    • Harris, D.1    Inder, B.2
  • 6
    • 38249024451 scopus 로고
    • Market efficiency and cointegration: An application to the Sterling and Deutschemark exchange markets
    • Hakkio, Craig S. and Mark Rush. 1989. "Market Efficiency and Cointegration: an Application to the Sterling and Deutschemark Exchange Markets." Journal of International Money and Finance 8: 75-88.
    • (1989) Journal of International Money and Finance , vol.8 , pp. 75-88
    • Hakkio, C.S.1    Rush, M.2
  • 7
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of a unit root
    • Kwiatkowski, Denis., Peter C. B. Phillips, Peter Schmidt and Yongcheol Shin. 1992. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root." Journal of Econometrics 54: 159-78.
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 8
    • 0001077376 scopus 로고
    • Puzzles in international financial markets
    • edited by G.M. Grossman and K. Rogoff, chapter 37. New York: North Holland
    • Lewis, Karen K. 1995. "Puzzles in International Financial Markets." In Handbook of hzternational Economics, Vol. 3, edited by G.M. Grossman and K. Rogoff, chapter 37. New York: North Holland.
    • (1995) Handbook of Hzternational Economics , vol.3
    • Lewis, K.K.1
  • 9
    • 84959818799 scopus 로고
    • Statistical inference in instrumental variables regression with I(l) processes
    • Phillips, Peter C. B. and Bruce E. Hansen. 1990. "Statistical Inference in Instrumental Variables Regression With I(l) Processes." The Review of Economic Studies 57: 99-125.
    • (1990) The Review of Economic Studies , vol.57 , pp. 99-125
    • Phillips, P.C.B.1    Hansen, B.E.2

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