Foreign exchange market efficiency and cointegration

Applied Financial Economics

Volumn 12, Issue 2, 2002, Pages 131-139

  Ferré, Montserrat ^a   Hall, Stephen G ^a  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

CURRENCY MARKET; EFFICIENCY MEASUREMENT; EXCHANGE RATE; GRANGER CAUSALITY TEST;

EID: 0036178321     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100110090055     Document Type: Article

References (31)

1. Are foreign exchange markets really efficient?
2. Does comovement among exchange rates imply market inefficiency?
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4. Cointegration, fractional cointegration, and exchange rate dynamics
5. Long-run dynamics of black and official exchange rates
6. Cointegration-based tests of daily foreign exchange market efficiency
7. Cointegration tests with daily exchange rate data
8. Foreign exchange market efficiency and common stochastic trends
9. A note on cointegration and international capital market efficiency: A reply
10. On cointegration and exchange rate dynamics
11. Cointegration and market efficiency
12. A note on cointegration and international money market efficiency
13. Efficient capital markets: A review of theory and empirical work
14. Efficient capital markets: II
15. Developments in the study of cointegrated economic variables
16. Market efficiency and cointegration: An application to the Sterling and Deutschmark exchange markets
17. Statistical analysis of cointegration vectors
18. Maximum likelihood estimation and inference on cointegration - With applications to the demand for money
19. Exchange rate convergence and market efficiency
20. Is the Tokyo spot foreign exchange market consistent with the efficient market hypothesis?
21. Further evidence on foreign exchange market efficiency: An application of cointegration tests
22. Multivariate cointegration testing of the efficiency of Australia's spot forex market
23. Empirical studies of exchange rates: Price behaviour, rate determination and market efficiency
24. Foreign exchange market efficiency and cointegration: Some evidence from the recent float
25. Investigating the robustness of tests of the market efficiency hypothesis: Contributions from cointegration techniques on the Canadian floating dollar
26. The interrelations of finance and economics: Theoretical perspectives
27. Tests of exchange rate market efficiency: Fragile evidence from cointegration tests
28. Efficiency in German and Japanese foreign exchange markets: Evidence from cointegration techniques