18
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Exchange rate market efficiency: further evidence from cointegration tests

Pages 196-198 | Published online: 05 Oct 2010
 

Abstract

This paper examines the hypothesis that foreign exchange market is efficient. Several empirical results from earlier studies have been based on the implicit assumption that time-series data are stationary. But we use cointegration techniques, which imply that time-series data are non-stationary, to test for market efficiency, using Japanese data drawn from the Wall Street Journal. Our results suggest that the Japanese foreign exchange market is inconsistent with the efficiency hypothesis.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.