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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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Long-memory models in testing the efficiency market hypothesis of the algerian exchange market
Benzai, Yassine; Aouad, Hadjar Soumia; Djellouli, Nassima - In: Management dynamics in the knowledge economy 10 (2022) 4/38, pp. 376-390
Persistent link: https://www.econbiz.de/10013499339
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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
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Foreign exchange market interventions and the $-¥ 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/10010255146
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Technical Analysis in the Foreign Exchange Market : A Cointegration-Based Approach
Fiess, Norbert - 2016
relationships between them using multivariate cointegration methods. This methodology facilitates the construction of dynamic …
Persistent link: https://www.econbiz.de/10013004233
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …
Persistent link: https://www.econbiz.de/10009582383
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A Study of the Efficiency and Unbiasedness in NCDEX : A Case Study of Guar Gum
Soni, Tarun Kumar - 2013
maturities using cointegration analysis, and short-term market efficiency, using an error correction model and GARCH-M-ECM. The …
Persistent link: https://www.econbiz.de/10013082956
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A Study of the Efficiency and Unbiasedness in NCDEX : A Case Study of Guar Gum
Soni, Tarun Kumar - 2013
maturities using cointegration analysis, and short-term market efficiency, using an error correction model and GARCH-M-ECM. The …
Persistent link: https://www.econbiz.de/10013089727
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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
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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