Title: Tests of exchange market efficiency: fragile evidence from cointegration tests
Abstract: Several recent papers have employed Engle and Granger (1987) cointegration tests to determine whether or not markets are efficient. We use a new test for cointegration due to Johansen (1988) to examine market efficiency with respect to the US dollar exchange rates for Canadian, Japanese, and West German currencies. The fragile nature of the test indications suggests that cointegration methodologies cannot be relied upon to provide reliable evidence on market efficiency.
Publication Year: 1991
Publication Date: 1991-12-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 173
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot