Empirical Studies of Nigeria's Foreign Parallel Market. II: Speculative Efficiency and Noisy Trading
Melvin Ayogu ()
Working Papers from African Economic Research Consortium
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
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Persistent link: https://EconPapers.repec.org/RePEc:fth:afrirc:69
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