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Exchange rate market efficiency: further evidence from cointegration tests

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  • Victor Ukpolo

Abstract

This paper examines the hypothesis that foreign exchange market is efficient. Several empirical results from earlier studies have been based on the implicit assumption that time-series data are stationary. But we use cointegration techniques, which imply that time-series data are non-stationary, to test for market efficiency, using Japanese data drawn from the Wall Street Journal. Our results suggest that the Japanese foreign exchange market is inconsistent with the efficiency hypothesis.

Suggested Citation

  • Victor Ukpolo, 1995. "Exchange rate market efficiency: further evidence from cointegration tests," Applied Economics Letters, Taylor & Francis Journals, vol. 2(6), pages 196-198.
    • Handle: RePEc:taf:apeclt:v:2:y:1995:i:6:p:196-198
    DOI: 10.1080/135048595357438
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    References listed on IDEAS

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    1. Barnhart, Scott W. & Szakmary, Andrew C., 1991. "Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co-Integration, and Stochastic Coefficients," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(2), pages 245-267, June.
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