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Efficiency Of Flexible Foreign Exchange Markets

Author

Listed:
  • Karmen, Bradley
  • Mann, Jitendar S.

Abstract

Statistical analysis is performed on daily exchange rates of five countries to determine the efficiency of these markets. This study shows that successive one-period changes of the exchange rates are serially independent and the price changes follow a random walk.

Suggested Citation

  • Karmen, Bradley & Mann, Jitendar S., 1981. "Efficiency Of Flexible Foreign Exchange Markets," Staff Reports 276714, United States Department of Agriculture, Economic Research Service.
    • Handle: RePEc:ags:uerssr:276714
    DOI: 10.22004/ag.econ.276714
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    File URL: https://ageconsearch.umn.edu/record/276714/files/ers-report-029.pdf
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    References listed on IDEAS

    as
    1. Mann, Jitendar S. & Heifner, Richard G., 1976. "The Distribution of Shortrun Commodity Price Movements," Technical Bulletins 158107, United States Department of Agriculture, Economic Research Service.
    2. M. F. M. Osborne, 1962. "Periodic Structure in the Brownian Motion of Stock Prices," Operations Research, INFORMS, vol. 10(3), pages 345-379, June.
    3. Ian H Giddy & Gunter Dufey, 1975. "The Random Behavior of the Flexible Exchange Rates: Implications for Forecasting," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 6(1), pages 1-32, March.
    4. Richard J Rogalski & Joseph D Vinso, 1978. "Empirical Properties of Foreign Exchange Rates," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 9(2), pages 69-79, June.
    5. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420-420.
    6. Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May.
    Full references (including those not matched with items on IDEAS)

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