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
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:fth:afrirc:69

Access Statistics for this paper

More papers in Working Papers from African Economic Research Consortium African Economic Research Consortum, P.O. Box 62882, Nairobi, Kenya. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().