Ferre, Montserrat; Hall, Stephen - In: Applied Financial Economics 12 (2002) 2, pp. 131-139
The analysis of market efficiency in the foreign exchange market adopted a new approach after Granger (Oxford Bulletin of Economics and Statistics, 48(3), 1986) stated that assets in an efficient market could not be cointegrated. If they were, there would be a market inefficiency since there...