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An empirical testing of exchange market efficiency hypothesis
[Une évaluation empirique de l'efficience du marché deschanges]

Author

Listed:
  • Frédérique Bec

    (THEMA - Théorie économique, modélisation et applications - UCP - Université de Cergy Pontoise - Université Paris-Seine - CNRS - Centre National de la Recherche Scientifique)

  • Mélika Ben Salem

    (ERUDITE - Equipe de Recherche sur l’Utilisation des Données Individuelles en lien avec la Théorie Economique - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

  • Emma Ben Youssef

    (Université de Lille, Droit et Santé)

Abstract

This paper develops an empirical analysis of the exchange market efficiency hypothesis, based on its implications for the VAR representation. It proposes an extension of the existing tests. Using daily data for the main nominal exchange rates visa -vis the US dollar-namely the Japanese Yen, the British Pound, the Deutschmark and the French Franc-over the period spanning January 1980 to March 1994, Johansen's tests of cointegration are performed: the market efficiency hypothesis cannot be rejected form these results. It is thus necessary to complete the analysis with Granger causality tests. This provides results rejecting the martingale implication of the efficiency hypothesis. Résumé Une évaluation empirique de l'efficience du marché des changes

Suggested Citation

  • Frédérique Bec & Mélika Ben Salem & Emma Ben Youssef, 1997. "An empirical testing of exchange market efficiency hypothesis [Une évaluation empirique de l'efficience du marché deschanges]," Post-Print hal-01851744, HAL.
    • Handle: RePEc:hal:journl:hal-01851744
    DOI: 10.3917/reco.p1997.48n4.0921
    Note: View the original document on HAL open archive server: https://hal.science/hal-01851744
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    References listed on IDEAS

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