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Empirical Studies of Nigeria's Foreign Parallel Market. II: Speculative Efficiency and Noisy Trading

Melvin Ayogu ()

Working Papers from African Economic Research Consortium

Abstract: Previous studies on the Nigerian parallel market found "return predictability". Based on this finding, we quantify, using Hansen's GMM estimation technique, the risk-return charateristics implicit in the simplest trading strategy of "buy and hold" an optimal portfolio of currencies. The risk-return profile suggests that profitable trading opportunities found in the Nigerian market may not indeed be exploitable.

Keywords: NIGERIA; EFFICIENCY; PARALLEL ECONOMY (search for similar items in EconPapers)
JEL-codes: G10 O17 (search for similar items in EconPapers)
Pages: 28 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:fth:afrirc:69

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