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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

Foreign exchange market efficiency : fractional cointegration approach

Belkacem, Lotfi; Meddeb, Zahra el; Boubaker, Heni - In: International journal of business 10 (2005) 3, pp. 285-302

Persistent link: https://www.econbiz.de/10003176641

The Adaptive Markets Hypothesis : Evidence from the Foreign Exchange Market

Neely, Christopher J. - 2009

prevents precise estimation of mean returns. These regularities are consistent with the Adaptive Markets Hypothesis (Lo (2004 …

Persistent link: https://www.econbiz.de/10013159872

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...

Persistent link: https://www.econbiz.de/10012037341

Forward Rate Unbiasedness Hypothesis in the Tunisian Foreign Exchange Market

Azouzi, Dhekra - 2012

Based on a linear framework, this paper aims to examine the relationship between future spot rates and forward exchange rates using USD-TND data, thanks to traditional regressions and to the Vector Error Correction Model (VECM) in order to check if the Unbiasedness Forward Exchange Rate (UFER)...

Persistent link: https://www.econbiz.de/10013115567

Foreign exchange market interventions and the $-Yen exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...

Persistent link: https://www.econbiz.de/10009779186

How to run a target zone? : age old lessons from an Austro-Hungarian experiment

Flandreau, Marc; Komlos, John - 2001

This paper considers what we argue was the first experiment of an exchangerate band. This experiment took place in Austria-Hungary between 1896 and1914. The rationale for introducing this policy rested on precisely thoseintuitions that modern target zone literature has recently emphasized:...

Persistent link: https://www.econbiz.de/10011399739

Using ARIMA forecasts to explore the efficiency of the forward Reichsmark market : Austria-Hungary, 1876-1914

Komlos, John; Flandreau, Marc - 2002

We explore the efficiency of the forward reichsmark market in Vienna between 1876 and 1914. We estimate ARIMA models of the spot exchange rate in order to forecast the one-month-ahead spot rate. In turn we compare these forecasts to the contemporaneous forward rate, i.e., the market's forecast...

Persistent link: https://www.econbiz.de/10010440957

The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets

Lin, Winston T. - 2016

This article examines the dynamic and stochastic behavior of the beta coefficient (to be referred to as the currency beta) of the unbiasedness hypothesis (UH) in foreign exchange markets. We argue that the dynamics and stochastics of currency betas can be attributed to the dynamic behavior...

Persistent link: https://www.econbiz.de/10013004323

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