An empirical testing of exchange market efficiency hypothesis

Une évaluation empirique de l'efficience du marché deschanges

Frédérique Bec, Mélika Ben Salem () and Emma Ben Youssef
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Mélika Ben Salem: ERUDITE - Equipe de Recherche sur l’Utilisation des Données Individuelles en lien avec la Théorie Economique - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
Emma Ben Youssef: Université de Lille, Droit et Santé

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Abstract: This paper develops an empirical analysis of the exchange market efficiency hypothesis, based on its implications for the VAR representation. It proposes an extension of the existing tests. Using daily data for the main nominal exchange rates visa -vis the US dollar-namely the Japanese Yen, the British Pound, the Deutschmark and the French Franc-over the period spanning January 1980 to March 1994, Johansen's tests of cointegration are performed: the market efficiency hypothesis cannot be rejected form these results. It is thus necessary to complete the analysis with Granger causality tests. This provides results rejecting the martingale implication of the efficiency hypothesis. Résumé Une évaluation empirique de l'efficience du marché des changes

Date: 1997
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Published in Revue Economique, 1997, 48 (4), pp.921-936. ⟨10.3917/reco.p1997.48n4.0921⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01851744

DOI: 10.3917/reco.p1997.48n4.0921

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