Cointegration and market efficiency: a time series analysis of the Greek drachma

Panayiotis Diamandis and Georgios Kouretas

Applied Economics Letters, 1995, vol. 2, issue 8, 271-277

Abstract: We use multivariate cointegration techniques to examine market efficiency with respect to five bilateral exchange rates of the Greek drachma. The conclusion is that the five exchange rates possess one long-run relationship and that the existence of the cointegration relation is not affected by temporal instability. The market efficiency hypothesis is therefore rejected.

Date: 1995
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DOI: 10.1080/135048595357212

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