The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

The hypothesis that futures prices are an unbiased predictor of spot price is a joint hypothesis that the market is efficient and there is no risk premium. In order to test separately unbiasedness and market efficiency, cointegration techniques must be applied. The goal of this paper is assess...

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

In the present study, we investigate the market weak efficiency hypothesis (MEH) in the case of the Tunisian exchange market. For this aim, we use fractional cointegration tests based essentially on estimation of an error correction bivariate ARFIMA model. The cointegration tests are conducted...

The study is carried out with the objective of testing the efficient market hypothesis (EMH) at the semistrong form level. As such, the study employs two publicly available data variables – the exchange rate (RM/USD) and short-term interest rate as proxied by the overnight policy rate (OPR)....

The belief that stock market provides hedge against inflation has been put to test by many researchers over the past few decades. The present study aims at testing the Fisher effect in the Indian context. We have used monthly data, from July 2006 to June 2016, of the National Stock Exchange...

This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...

This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of theimpact of Foreign Private Investment (FPI), Interest Rate (INR) and Inflation rate (IFR) on Growth Domestic Products (GDP) in Nigeria for the period January 1970 to December 2009. The Unit Root Test...

Background: Banking is an important sector of Pakistan's economy. It is general consideration that bank's major activities saving and lending have positive impact on economic growth. So the aim of this study is to investigate this consideration and also investigate that either growth led...