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Are foreign exchange markets really efficient?

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  • Alexander, C. O.
  • Johnson, A.

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  • Alexander, C. O. & Johnson, A., 1992. "Are foreign exchange markets really efficient?," Economics Letters, Elsevier, vol. 40(4), pages 449-453, December.
    • Handle: RePEc:eee:ecolet:v:40:y:1992:i:4:p:449-453
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    Cited by:

    1. Manamba Epaphra & Khatibu Kazungu, 2021. "Efficiency of Tanzania's foreign exchange market," African Development Review, African Development Bank, vol. 33(2), pages 368-381, June.
    2. Abul M.M. Masih & Rumi Masih, 1998. "A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange Rates: A Case of High Frequency Data with Low Frequency Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(7‐8), pages 987-1003, September.
    3. Sequeira, John M., 1997. "Econometric modelling of long-run relationships in the Singapore currency futures market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 421-427.
    4. Barkoulas, John & Baum, Christopher F. & Chakraborty, Atreya, 2003. "Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums," Journal of Macroeconomics, Elsevier, vol. 25(1), pages 109-122, March.
    5. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    6. Shyh-Wei Chen, 2010. "Testing the hypothesis of market efficiency in the Taiwan-US forward exchange market since 1990," Applied Economics, Taylor & Francis Journals, vol. 42(1), pages 121-132.
    7. Sarwar, Ghulam, 1997. "Efficiency of black markets in foreign currencies in Southeast Asia," Journal of Multinational Financial Management, Elsevier, vol. 7(4), pages 333-344, December.
    8. Tse, Y. K. & Ng, L. K., 1997. "The cointegration of Asian currencies revisited," Japan and the World Economy, Elsevier, vol. 9(1), pages 109-114, March.
    9. Ram Bhar, 1994. "Modelling Yen Futures Return Using Daily Data From IMM and Simex," Working Paper Series 39, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Carol Alexander & Ian Giblin & Wayne Weddington III, 2001. "Cointegration and Asset Allocation: A New Fund Strategy," ICMA Centre Discussion Papers in Finance icma-dp2001-03, Henley Business School, University of Reading.
    11. Engel, Charles, 1996. "A note on cointegration and international capital market efficiency," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 657-660, August.
    12. Duan, Jin-Chuan & Pliska, Stanley R., 2004. "Option valuation with co-integrated asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 727-754, January.
    13. Montserrat Ferre & Stephen Hall, 2002. "Foreign exchange market efficiency and cointegration," Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 131-139.
    14. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.

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