Abstract:
Previous studies on the Nigerian parallel market found "return predictability". Based on this finding, we quantify, using Hansen's GMM estimation technique, the risk-return charateristics implicit in the simplest trading strategy of "buy and hold" an optimal portfolio of currencies. The risk-return profile suggests that profitable trading opportunities found in the Nigerian market may not indeed be exploitable.
Keywords:NIGERIA; EFFICIENCY; PARALLEL ECONOMY (search for similar items in EconPapers) JEL-codes:G10O17 (search for similar items in EconPapers) Date: 1997
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More papers in Working Papers from African Economic Research Consortium Address: African Economic Research Consortum, P.O. Box 62882, Nairobi, Kenya Contact information at EDIRC. Series data maintained by Thomas Krichel ().
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