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| Author: | Martens, M. Kofman, P. |
| Title: | The inefficiency of Reuters foreign exchange quotes |
| Journal: | Journal of Banking and Finance
1998 : MAR, VOL. 22:3, p. 347-366 |
| Index terms: | EFFICIENCY EXCHANGE RATES INFORMATION |
| Language: | eng |
| Abstract: | Reuters foreign exchange (or FXFX) page is the world-wide predominant information source to foreign exchange traders. In the study the indicative spot exchange rate quotes from Reuters are compared with their matching futures exchange rates from the Chicago Mercantile Exchange. It is found that the indicative quotes on Reuters FXFX page are inefficient and could be improved by incorporating information from the futures market. This casts doubt on the way banks determine these quotes, as well as on the informational content of these quotes as an indicator of the current exchange rate. |
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