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The impossibility of meaningful efficient market parameters in testing for the spot-forward relationship in foreign exchange markets

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  • Wang, Peijie
  • Jones, Trefor

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  • Wang, Peijie & Jones, Trefor, 2003. "The impossibility of meaningful efficient market parameters in testing for the spot-forward relationship in foreign exchange markets," Economics Letters, Elsevier, vol. 81(1), pages 81-87, October.
    • Handle: RePEc:eee:ecolet:v:81:y:2003:i:1:p:81-87
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    References listed on IDEAS

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    1. Sarno,Lucio & Taylor,Mark P., 2003. "The Economics of Exchange Rates," Cambridge Books, Cambridge University Press, number 9780521485845.
    2. Wang, Peijie & Jones, Trefor, 2002. "Testing for efficiency and rationality in foreign exchange markets--a review of the literature and research on foreign exchange market efficiency and rationality with comments," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 223-239, April.
    3. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
    4. Huisman, Ronald & Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Extreme support for uncovered interest parity," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 211-228, February.
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    Cited by:

    1. Christian Mueller-Kademann, 2016. "The puzzle that just isn't," Papers 1604.08895, arXiv.org.
    2. Christian, Müller, 2011. "The forward-bias puzzle: Still unsolved," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 605-610, October.
    3. Peter G. Szilagyi & Jonathan A. Batten, 2006. "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series iiisdp128, IIIS.
    4. Christian, Mueller-Kademann, 2009. "Puzzle solver," MPRA Paper 19852, University Library of Munich, Germany.
    5. Al-Khazali, Osamah M. & Pyun, Chong Soo & Kim, Daewon, 2012. "Are exchange rate movements predictable in Asia-Pacific markets? Evidence of random walk and martingale difference processes," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 221-231.

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