ARCH effects and cointegration: Is the foreign exchange market efficient?
Journal article
Authors | Apergis, Nicholas and Alexakis, Panagiotis |
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Abstract | Extensive empirical work has produced mixed evidence regarding the validity of the unbiased efficient expectations hypothesis in the foreign exchange market. Empirical analysis in this paper, via cointegration techniques, produces the same inconclusive results for three currency markets, namely, the FFR/$US, the DM/$US and the Yen/$US foreign exchange market. However, when modeling conditional heteroskedasticity of exchange rates, through autoregressive conditional heteroskedasticity (ARCH) models, the results are fairly conclusive; the presence of the efficient foreign exchange market hypothesis is found in all these three currency markets. |
Keywords | Efficient markets; Forward exchange rates; ARCH effects; Cointegration |
Year | 1996 |
Journal | Journal of Banking and Finance |
Publisher | Elsevier |
Web address (URL) | http://hdl.handle.net/10545/623577 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623577 | |
Publication dates | May 1996 |
Publication process dates | |
Deposited | 14 Mar 2019, 17:37 |
Contributors | University of Macedonia and University of the Aegean |
File | File Access Level Open |
File | File Access Level Open |
https://repository.derby.ac.uk/item/9343v/arch-effects-and-cointegration-is-the-foreign-exchange-market-efficient
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