Multimaturity efficient market hypotheses: Sorting out rejections in international interest and exchange rate markets |
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| Affiliation: | 1. School of Economics, Qingdao University, China;2. International College, Renmin University of China, Beijing, China;3. School of Economics, Ocean University of China, China |
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| Abstract: | This paper is concerned with econometric testing of multimaturity efficient market hypotheses for Canadian and Japanese foreign exchange and Eurocurrency deposit rates. A multimaturity efficient market hypothesis is developed and it is demonstrated that for the null hypothesis of multimarket efficiency to hold in the forward exhange market, rational expectations of the term structure of the matching Eurocurrency deposit rates must hold. |
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