European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods

International Review of Financial Analysis

Volumn 13, Issue 3, 2004, Pages 333-347

  Aroskar, Raj ^a   Sarkar, Salil K ^b   Swanson, Peggy E ^b  

^a UNIVERSITY OF WISCONSIN EAU CLAIRE   (United States)

^b UNIVERSITY OF TEXAS AT ARLINGTON   (United States)

Author keywords

Cointegration; Currency crisis; European exchange rates; Foreign exchange markets

Indexed keywords

EID: 2942591952     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2004.02.011     Document Type: Article

References (45)

1. Abu-Rashed J. Cameron L. Rankin C.H. Managing currency bands and the future of European monetary integration Management Decision 33 1995 22-30
2. Baillie R. Bollerslev T. Common stochastic trends in a system of exchange rates The Journal of Finance 44 1989 167-181
3. Biswas R. Shawky H. Foreign exchange market efficiency: Evidence from Gulf War period Global Finance Journal 8 1997 199-210
4. Bustelo P. Novelties of financial crises in the 1990s and the search for new indicators Emerging Markets Review 1 2000 229-251
5. Callen J.L. Chan M.W.L. Kwan C.C.Y. Spot and forward exchange rates: A causality analysis Journal of Business Finance and Accounting 16 1989 105-118
6. Chan K.S. Chiu Y.S. The role of (non-)transparency in a currency crisis model European Economic Review 46 2002 397-416
7. Christodoulakis N. Kalyvitis S. Efficiency testing revisited: A foreign exchange market with Bayesian learning Journal of International Money and Finance 16 1997 367-385
8. Coleman M. Cointegration-based tests of daily foreign exchange market efficiency Economics Letters 32 1990 53-59
9. Copeland L. Efficiency of the financial market day by day and month by month Applied Financial Economics 3 1993 79-87
10. Crowder W. Foreign exchange market efficiency and common stochastic trends Journal of International Money and Finance 13 1994 551-564
11. Crowder W. A note on cointegration and international capital market efficiency: A reply Journal of International Money and Finance 15 1996 661-664
12. Dickey D. Fuller W. Distribution of the estimators for autoregressive time series with a unit root Journal of the American Statistical Association 74 1979 427-431
13. Dickey D. Fuller W. The likelihood ratio statistic for autoregressive time series and a unit root Econometrica 49 1981 1057-1072
14. Diebold F.X. Gardeazabal J. Yilmaz K. On cointegration and exchange rate dynamics The Journal of Finance 49 1994 729-735
15. Doukas J. Rahman A. Foreign currency futures and monetary policy announcements: An intervention analysis Journal of Futures Markets 6 1986 343-373
16. Dwyer G.P. Wallace M.S. Cointegration and market efficiency Journal of International Money and Finance 11 1992 318-327
17. Engel C. A note on cointegration and international capital market efficiency Journal of International Money and Finance 15 1996 657-660
18. Engle R. Granger C. Cointegration and error correction: Representation, estimation and testing Econometrica 55 1987 251-276
19. Fratianni M. Hur H.D. Kang H. Random walk and monetary causality in five exchange markets Journal of International Money and Finance 6 1987 505-514
20. Glick R. Rose A.K. Contagion and trade: Why are currency crises regional? Journal of International Money and Finance 18 1999 603-617
21. Hafer R. Kutan A. A long-run view of German dominance and the degree of policy convergence in the EMS Economic Inquiry 38 1994 684-695
22. Hakkio C. Rush M. Market efficiency and cointegration: An application to the sterling and deutschmark exchange markets Journal of International Money and Finance 8 1989 75-88
23. Hakkio C. Rush M. Cointegration: How short is the long run? Review of Financial Economics 2 1991 68-74
24. Higgins B. Was the ERM crisis inevitable? Economic Review 78 1993 27-40 (Federal Reserve Bank of Kansas City)
25. Hu X. Macroeconomic uncertainty and the risk premium in the foreign exchange market Journal of International Money and Finance 16 1997 699-719
26. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models Econometrica 59 1991 1551-1580
27. Joseph N.L. Cointegration, error-correction models, and forecasting using foreign exchange rates Journal of Forecasting 14 1995 499-522
28. Kim K. Reexamination of exchange risk Journal of Macroeconomics 12 1990 147-155
29. Lajaunie J. McManis B. Naka A. Further evidence on foreign exchange market efficiency: An application of cointegration tests Financial Review 31 1996 553-564
30. Lajaunie J. Naka A. Is the Tokyo spot foreign exchange market consistent with the efficient market hypothesis Review of Financial Economics 2 1992 68-74
31. Lajaunie J. Naka A. Re-examining cointegration, unit roots and efficiency in foreign exchange rates Journal of Business Finance and Accounting 24 1997 363-374
32. Ligeralde A. Covariance matrix estimators and test of market efficiency Journal of International Money and Finance 16 1997 323-343
33. Liu C. He J. Risk premia in foreign currency futures Financial Review 27 1992 571-587
34. Liu P. Maddala G. Rationality of survey data and tests for market efficiency in the foreign exchange markets Journal of International Money and Finance 11 1992 366-381
35. Newbold P. Wohar M.E. Rayner T. Kellard N. Ennew C. Two puzzles in the analysis of foreign exchange market efficiency International Review of Financial Analysis 7 1998 95-111
36. Nguyen, T., (2000). Foreign exchange market efficiency, speculators, arbitrageurs and international capital flows. Centre for International Economic Studies, Adelaide University, Adelaide, Australia, Paper no. 0033.
37. Ogilvie H. Off the mark Journal of European Business 5 1993 8-11
38. Phillips P. Perron P. Testing for a unit root in time series regression Biometrica 74 1988 335-346
39. Phillips P.C.B. Ouliaris S. Asymptotic properties of residual based tests for cointegration Econometrica 58 1990 165-193
40. Pope P. Peel D. Forward foreign exchange rates and risk premia-A reappraisal Journal of International Money and Finance 10 1991 443-456
41. Sephton P. Larson H. Tests of exchange market efficiency: Fragile evidence from cointegration tests Journal of International Money and Finance 10 1991 561-570
42. Stock J. Watson M. A simple estimator of cointegrating vectors in higher order integrated systems Econometrica 61 1993 783-820
43. Theobald M. Testing the relationship between forward and spot rates in foreign exchange markets Journal of Business Finance and Accounting 18 1991 1-12
44. Wang P. Jones T. Testing for efficiency and rationality in foreign exchange markets-A review of the literature and research on foreign exchange market efficiency and rationality with comments Journal of International Money and Finance 21 2002 223-239
45. Wu J.L. Chen S.L. Foreign exchange market efficiency revisited Journal of International Money and Finance 17 1998 831-838