A note on the foreign exchange market efficiency hypothesis

Swarna Dutt () and Dipak Ghosh ()

Journal of Economics and Finance, 1999, vol. 23, issue 2, 157-161

Abstract: This paper examines the weak and strong forms of the foreign exchange market efficiency hypothesis (MEH) (as defined in the paper) using the recently available Harris-Inder null of cointegration procedure, which is powerful enough to distinguish between cointegration and near cointegration, and thus provide more robust results than conventional cointegration tests. Our results indicate that both forms of the MEH are rejected for all the major currencies of the European Economic Community (EEC). (JEL F310). Copyright Springer 1999

Date: 1999
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DOI: 10.1007/BF02745949

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