Are foreign exchange markets really efficient?

Alexander, C O and Johnson, A (1992) Are foreign exchange markets really efficient? Economics Letters, 40 (4). pp. 449-453. ISSN 0165-1765

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Asset prices determined in a weakly efficient market cannot be cointegrated because cointegration implies a Granger-causal link. However, strong evidence of cointegration in currency markets is found using Johansen's multivariate procedure on London daily closing rates for the six major currencies (in dollar terms). An error-correction based trading model is implemented.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance
Depositing User: Carol Alexander
Date Deposited: 26 Sep 2012 09:16
Last Modified: 26 Sep 2012 09:16
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