Testing exchange rate efficiency: the case of euro-dollar

Marco Mazzoli and Christian Barducci

International Review of Applied Economics, 2009, vol. 23, issue 4, 521-540

Abstract: This paper tests the semi-strong efficiency of the euro-dollar currency market by introducing a simple heuristic test, based on the 'general-to-specific' methodology and meant to include as two specific sub-cases the 'efficient market hypothesis' (EMH) in the currency market as well as alternative theories implying a time dependent process of propagation of information. According to the results of our nested test, the 'efficient market hypothesis' in the euro-dollar currency market is rejected.

Keywords: information and market efficiency; foreign exchange (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1080/02692170902954817

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