Exchange rate market efficiency: further evidence from cointegration tests

Victor Ukpolo

Applied Economics Letters, 1995, vol. 2, issue 6, 196-198

Abstract: This paper examines the hypothesis that foreign exchange market is efficient. Several empirical results from earlier studies have been based on the implicit assumption that time-series data are stationary. But we use cointegration techniques, which imply that time-series data are non-stationary, to test for market efficiency, using Japanese data drawn from the Wall Street Journal. Our results suggest that the Japanese foreign exchange market is inconsistent with the efficiency hypothesis.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:2:y:1995:i:6:p:196-198

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DOI: 10.1080/135048595357438

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