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
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.
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Working Paper: COINTEGRATION AND MARKET EFFICIENCY: A Time Series Analysis of the Greek Drachma
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