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FOREIGN EXCHANGE MARKET EFFICIENCY. EMPIRICAL RESULTS FOR THE USD/EUR MARKET
Czech, Katarzyna Anna; Waszkowski, Adam - In: "e-Finanse" 8 (2012) 3, pp. 1-9
The aim of the paper is to verify whether the USD/EUR exchange rate market is efficient. The fundamental parity condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore, the UIP hypothesis verification accounts for the crucial...
Persistent link: https://www.econbiz.de/10010815426
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Foreign exchange market efficiency: Empirical results for the USD/EUR market
Czech, Katarzyna Anna; Waszkowski, Adam - In: e-Finanse: Financial Internet Quarterly 8 (2012) 3, pp. 1-9
The aim of the paper is to verify whether the USD/EUR exchange rate market is efficient. The fundamental parity condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore, the UIP hypothesis verification accounts for the crucial...
Persistent link: https://www.econbiz.de/10011551371
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Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country
Katusiime, Lorna; Shamsuddin, Abul; Agbola, Frank W. - In: International Review of Economics & Finance 35 (2015) C, pp. 315-332
This paper empirically investigates market efficiency and trading rule profitability of the Ugandan foreign exchange market for the period January 1994 to June 2012. We test for market efficiency using a battery of variance ratio tests with superior size and power properties. We find that the...
Persistent link: https://www.econbiz.de/10011077042
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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - Center for European, Governance and Economic … - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10010980784
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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10010300150
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Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses
Kühl, Michael - Center for Globalization and Europeanization of the … - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10005635356
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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be … adjustment to the long-run equilibrium. -- foreign exchange market ; market efficiency ; cointegration …
Persistent link: https://www.econbiz.de/10003582754
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Do structural breaks in exchange rate volatility matter? Evidence from Asia-Pacific currencies
SU, Yongyang; LAU, Chi Keung Marco; BİLGİN, Mehmet … - In: Iktisat Isletme ve Finans 26 (2011) 304, pp. 57-78
Using the U.S. dollar exchange rate return series of three major Asia-Pacific currencies, this paper investigates the empirical relevance of structural breaks in exchange rate volatilities. We find significant evidence of structural breaks in the unconditional variances of all three exchange...
Persistent link: https://www.econbiz.de/10009150923
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Currency market efficiency revisited: Evidence from Korea
Kang, Min-woo - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-17
This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants through several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical findings indicate that the currency market...
Persistent link: https://www.econbiz.de/10013200230
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Currency market efficiency revisited : evidence from Korea
Kang, Min-woo - In: International Journal of Financial Studies : open … 7 (2019) 3/52, pp. 1-17
This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants through several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical findings indicate that the currency market...
Persistent link: https://www.econbiz.de/10012150302