ARE FOREIGN-EXCHANGE MARKETS REALLY EFFICIENT

被引：21

作者：

ALEXANDER, CO ^{[1
]}

JOHNSON, A ^{[1
]}

机构：

[1] HILL SAMUEL BANK,LONDON,ENGLAND

来源：

ECONOMICS LETTERS | 1992年 / 40卷 / 04期

关键词：

D O I：

10.1016/0165-1765(92)90142-L

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Asset prices determined in a weakly efficient market cannot be cointegrated because cointegration implies a Granger-causal link. However, strong evidence of cointegration in currency markets is found using Johansen's multivariate procedure on London daily closing rates for the six major currencies (in dollar terms). An error-correction based trading model is implemented.

引用

页码：449 / 453

页数：5

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