IDEAS home Printed from https://ideas.repec.org/a/spr/jecfin/v21y1997i1p25-31.html
   My bibliography  Save this article

Market efficiency and cointegration: Some evidence in Pacific-Basin black exchange markets

Author

Listed:
  • Kam Chan
  • Louis Cheng
  • Ming-Shiun Pan

Abstract

No abstract is available for this item.

Suggested Citation

  • Kam Chan & Louis Cheng & Ming-Shiun Pan, 1997. "Market efficiency and cointegration: Some evidence in Pacific-Basin black exchange markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(1), pages 25-31, March.
    • Handle: RePEc:spr:jecfin:v:21:y:1997:i:1:p:25-31
    DOI: 10.1007/BF02929019
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF02929019
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/BF02929019?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. repec:bla:jfinan:v:44:y:1989:i:1:p:167-81 is not listed on IDEAS
    2. Akgiray, Vedat & Geoffrey Booth, G. & Seifert, Bruce, 1988. "Distribution properties of Latin American black market exchange rates," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 37-48, March.
    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    4. Gupta, Sanjeev, 1981. "A Note on the Efficiency of Black Markets in Foreign Currencies," Journal of Finance, American Finance Association, vol. 36(3), pages 705-710, June.
    5. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
    6. Rudiger Dornbusch & Daniel Valente Dantas & Clarice Pechman & Roberto de Rezende Rocha & Demetrio SimÅes, 1983. "The Black Market for Dollars in Brazil," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 98(1), pages 25-40.
    7. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    8. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
    9. Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
    10. Meese, Richard A & Singleton, Kenneth J, 1982. "On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-1035, September.
    11. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    12. Sanjeev Gupta, 1980. "An application of the monetary approach to black market exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 116(2), pages 235-252, June.
    13. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    14. Corbae, Dean & Ouliaris, Sam, 1986. "Robust tests for unit roots in the foreign exchange market," Economics Letters, Elsevier, vol. 22(4), pages 375-380.
    15. MacDonald, Ronald & Taylor, Mark P, 1988. "Metals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 40(3), pages 235-239, June.
    16. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
    17. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    18. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    19. Coleman, Mark, 1990. "Cointegration-based tests of daily foreign exchange market efficiency," Economics Letters, Elsevier, vol. 32(1), pages 53-59, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
    2. Saba Qureshi & Muhammad Aftab, 2023. "Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis," Global Business Review, International Management Institute, vol. 24(6), pages 1180-1204, December.
    3. Alan Speight & David McMillan, 2001. "Cointegration and predictability in prereform east European black-market exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 8(12), pages 755-759.
    4. Shu-Chen Chang, 2008. "Asymmetric cointegration relationship among Asian exchange rates," Economic Change and Restructuring, Springer, vol. 41(2), pages 125-141, June.
    5. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:got:cegedp:76 is not listed on IDEAS
    2. Michael KUEHL, 2008. "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
    3. Kühl, Michael, 2007. "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," University of Göttingen Working Papers in Economics 68, University of Goettingen, Department of Economics.
    4. Jose A. Lopez, 1996. "Exchange rate cointegration across central bank regime shifts," Research Paper 9602, Federal Reserve Bank of New York.
    5. 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.
    6. Masih, Rumi & Masih, Abul M. M., 1996. "Stock-Watson dynamic OLS (DOLS) and error-correction modelling approaches to estimating long- and short-run elasticities in a demand function: new evidence and methodological implications from an appl," Energy Economics, Elsevier, vol. 18(4), pages 315-334, October.
    7. repec:got:cegedp:68 is not listed on IDEAS
    8. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
    9. PHILIP E.T. LEWIS & GARRY A. MacDONALD, 1993. "Testing for Equilibrium in the Australian Wage Equation," The Economic Record, The Economic Society of Australia, vol. 69(3), pages 295-304, September.
    10. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September.
    11. James Kung & Andrew Carverhill, 2005. "A cointegration study of the efficiency of the US Treasury STRIPS market," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 695-703.
    12. Chee-Keong Choong & Wai-Ching Poon & Muzafar Shah Habibullah & Zulkornain Yusop, 2003. "The Validity of PPP Theory in ASEAN-Five: Another Look on Cointegration and Panel Data Analysis," International Trade 0309018, University Library of Munich, Germany.
    13. Myers, Robert J., 1994. "Time Series Econometrics and Commodity Price Analysis: A Review," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 62(02), pages 1-15, August.
    14. Chan, Kam C. & Norrbin, Stefan C. & Lai, Pikki, 1997. "Are stock and bond prices collinear in the long run?," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 193-201.
    15. Chulho Jung & K. Doroodian & Robert Albarano, 1998. "The unbiased forward rate hypothesis: a re-examination," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 567-575.
    16. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 667-677.
    17. Aggarwal, Raj & Mougoue, Mbodja, 1998. "Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers," Review of Quantitative Finance and Accounting, Springer, vol. 10(2), pages 193-206, March.
    18. Salim Darbar, 1994. "The unbiasedness of the forward exchange rate: evidence from the 1920s," Applied Economics Letters, Taylor & Francis Journals, vol. 1(3), pages 49-53.
    19. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    20. Ahmed, Walid M.A., 2008. "Cointegration and dynamic linkages of international stock markets: an emerging market perspective," MPRA Paper 26986, University Library of Munich, Germany.
    21. Dimitris Kenourgios, 2005. "Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market," Finance 0512014, University Library of Munich, Germany.
    22. Kam C. Chan & Louis T. W. Cheng & Joseph K. W. Fung, 2001. "Ownership Restrictions and Stock-Price Behavior in China," Chinese Economy, Taylor & Francis Journals, vol. 34(1), pages 29-48, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jecfin:v:21:y:1997:i:1:p:25-31. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.