THE EFFICIENCY OF THE INTERNATIONAL MONEY MARKETS

In markets which are efficient in the weak form, investors are not able to use the information contained in historical yields to earn excess returns. Using a rum test, this paper examines the weak form efficiency of a number of international money markets. While most of the markets examined were found to be efficient in the weak form, the study was not able to confirm the weak form efficiency of the markets for three-month German DM bank deposits, Swiss Ffr. bank deposits, French Ffr. bank deposits, and six-month Eurodollar CDs.     

THE EFFICIENCY OF THE INTERNATIONAL MONEY MARKETS: A REPLY

In their original article, McInish and Puglisi (1982) examine the weak form efficiency of nineteen international money market instruments using a runs test. Taylor asserts that on theoretical grounds other tests would have been better. McInish and Puglisi argue that their tests were satisfactory and that until empirical evidence is offered the economic significance of Taylor's claims is uncertain (at best).