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Original Articles

An empirical examination of exchange market efficiency

Pages 89-91 | Published online: 06 Oct 2010

References

  • Baillie , R. T. and Bollerslev , T. 1989 . Common stochastic trends in a system of real exchange rates . Journal of Finance , 44 : 167 – 181 .
  • Dutt , S. D. and Ghosh , D. 1995 . The foreign exchange market efficiency hypothesis revisited . Applied Economics Letters , 2 : 311 – 315 .
  • Engle , R. F. 1987 . On the theory of cointegrated economic time series , San Diego, , USA : University of California .
  • Engle , R. F. and Granger , C. W. J. 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 25 – 76 .
  • Hakkio , C. S. and Rush , M. 1989 . Market efficiency and cointegration: an application to the sterling and Deutschemark exchange markets . Journal of International Money and Finance , 8 : 75 – 88 .
  • Harris , D. and Inder , B. 1994 . “ A test of the null hypothesis of cointegration ” . In Non-stationary Time Series and Cointegration Analysis , Edited by: Hargreaves , G. New York : Oxford University Press .

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