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Exchange Rate Convergence and Market Efficiency

Author

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  • Karfakis, C.I.
  • Parikh, A.

Abstract

The objective of this paper is to examine the market efficiency hypothesis for five major exchange rats of the Australian dollar using multivariate cointegration techniques. The conclusion is that cointegrated relations exist in foreign exchange markets when interdependence among exchange rates is accounted for.

Suggested Citation

  • Karfakis, C.I. & Parikh, A., 1991. "Exchange Rate Convergence and Market Efficiency," Working Papers 167, University of Sydney, School of Economics.
    • Handle: RePEc:syd:wpaper:2123/7440
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    Cited by:

    1. 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.
    2. Macide Cicek, 2014. "A Cointegration Test for Turkish Foreign Exchange Market Efficiency," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(4), pages 451-471, April.
    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. Abul M.M. Masih & Rumi Masih, 1998. "A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange Rates: A Case of High Frequency Data with Low Frequency Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(7‐8), pages 987-1003, September.
    5. repec:got:cegedp:68 is not listed on IDEAS
    6. Chiang, Shu-Mei & Lee, Yen-Hsien & Su, Hsin-Mei & Tzou, Yi-Pin, 2010. "Efficiency tests of foreign exchange markets for four Asian Countries," Research in International Business and Finance, Elsevier, vol. 24(3), pages 284-294, September.
    7. Ali Farhan Chaudhry & Mian Muhammd Hanif & Sameera Hassan & Muhammad Irfan Chani, 2019. "Efficiency of the Black Foreign Exchange Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(2), pages 165-174, February.
    8. Montserrat Ferre & Stephen Hall, 2002. "Foreign exchange market efficiency and cointegration," Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 131-139.

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