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Cointegration and market efficiency: a time series analysis of the Greek drachma

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  • Panayiotis Diamandis
  • Georgios Kouretas

Abstract

We use multivariate cointegration techniques to examine market efficiency with respect to five bilateral exchange rates of the Greek drachma. The conclusion is that the five exchange rates possess one long-run relationship and that the existence of the cointegration relation is not affected by temporal instability. The market efficiency hypothesis is therefore rejected.

Suggested Citation

  • Panayiotis Diamandis & Georgios Kouretas, 1995. "Cointegration and market efficiency: a time series analysis of the Greek drachma," Applied Economics Letters, Taylor & Francis Journals, vol. 2(8), pages 271-277.
    • Handle: RePEc:taf:apeclt:v:2:y:1995:i:8:p:271-277
    DOI: 10.1080/135048595357212
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