EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: COINTEGRATION AND MARKET EFFICIENCY: A Time Series Analysis of the Greek Drachma
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:2:y:1995:i:8:p:271-277

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/135048595357212

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2022-09-27
Handle: RePEc:taf:apeclt:v:2:y:1995:i:8:p:271-277