haku: @author Maddala, G. S. / yhteensä: 2
viite: 1 / 2
« edellinen | seuraava »
Tekijä: | Lui, P. C. Maddala, G. S. |
Otsikko: | Using survey data to test market efficiency in the foreign exchange markets |
Lehti: | Empirical Economics
1992 : VOL. 17:2, p. 303-314 |
Asiasana: | MARKET EFFICIENCY FOREIGN EXCHANGE MARKET SURVEYS |
Kieli: | eng |
Tiivistelmä: | The present paper uses survey data on expectations to analyse the market efficiency hypothesis (MEH) in the foreign exchange markets. It uses the theory of cointegration to answer the question of whether the forward discount bias is due to expectational errors or a risk premium. The data used in this study are from the Money Market Services (MMS). The authors consider four currencies: the British Pound, Deutsche Mark, Swiss Frank and Japanese Yen. The data period is October 24, 1984 to May 19, 1989. The authors first use the survey data to test the rational expectations hypothesis and then use the forward rates to test the MEH. |
« edellinen | seuraava »
SCIMA