Long run and short run test for market efficiency: Evidence for the British Pound, the German Mark and the Japanese Yen
| Autor: | Dimitris Kenourgios, Andreas Christodoulou, Aristeidis Samitas |
|---|---|
| Rok vydání: | 2006 |
| Předmět: |
Numerical Analysis
Spot contract Short run Financial economics Strategy and Management Management Science and Operations Research Efficient-market hypothesis Interest rate parity Computational Theory and Mathematics Management of Technology and Innovation Modeling and Simulation Covered interest arbitrage Forward rate Liberian dollar Economics Statistics Probability and Uncertainty Foreign exchange market health care economics and organizations |
| Zdroj: | Operational Research. 6:163-182 |
| ISSN: | 1866-1505 1109-2858 |
| DOI: | 10.1007/bf02941230 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full text from SpringerLink