A note on the foreign exchange market efficiency hypothesis |
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| Authors: | Swarna D. Dutt Dipak Ghosh |
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| Affiliation: | (1) Department of Economics, Richards College of Business, State University of West Georgia, 30118 Carrollton, GA;(2) Division of Management, Marketing, Finance, and Economics, Box 4058, 1200 Commercial Street, Emporia State University, 66801 Emporia, KS |
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| Abstract: | This paper examines the weak and strong forms of the foreign exchange market efficiency hypothesis (MEH) (as defined in the paper) using the recently available Harris-Inder null of cointegration procedure, which is powerful enough to distinguish between cointegration and near cointegration, and thus provide more robust results than conventional cointegration tests. Our results indicate that both forms of the MEH are rejected for all the major currencies of the European Economic Community (EEC). (JEL F310). |
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