Testing exchange rate efficiency: the case of euro-dollar

被引：3
|
作者：
Mazzoli, Marco [1 ]
Barducci, Christian [2 ]
机构：
[1] Catholic Univ Piacenza, Fac Econ, Piacenza, Italy
[2] BCC Vita Prod Desk, Milan, Italy
来源：
INTERNATIONAL REVIEW OF APPLIED ECONOMICS | 2009年 / 23卷 / 04期
关键词：
information and market efficiency; foreign exchange;
D O I：
10.1080/02692170902954817
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper tests the semi-strong efficiency of the euro-dollar currency market by introducing a simple heuristic test, based on the 'general-to-specific' methodology and meant to include as two specific sub-cases the 'efficient market hypothesis' (EMH) in the currency market as well as alternative theories implying a time dependent process of propagation of information. According to the results of our nested test, the 'efficient market hypothesis' in the euro-dollar currency market is rejected.
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页码：521 / 540
页数：20
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