COINTEGRATION-BASED TESTS OF DAILY FOREIGN-EXCHANGE MARKET-EFFICIENCY

被引：28

作者：

COLEMAN, M

机构：

[1] Boston College, Chestnut Hill

来源：

ECONOMICS LETTERS | 1990年 / 32卷 / 01期

关键词：

D O I：

10.1016/0165-1765(90)90049-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

An immediate implication of cointegration is the existence of Granger-causal orderings among cointegrated series. This implies that asset prices determined in a weakly efficient market cannot be cointegrated. This proposition is tested using daily data for 18 foreign currencies. Tests are conducted for both pairwise combinations of currencies and higher-order systems. No significant evidence of cointegration among exchange rates is found. © 1990.

引用

页码：53 / 59

页数：7

共 18 条

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