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ArticleForeign exchange market efficiency and cointegration

Ronald R. MacDonald1989

Article1989

Foreign exchange market efficiency and cointegration

Ronald R. MacDonald · Mark P. Taylor

118 citations·0/0 files stored·Economics Letters

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1984Forward and spot exchange rates 1977Foundations of Finance.1975Covered Interest Arbitrage: Unexploited Profits?

Cited by

1996Interdependence of stock markets: evidence from Europe during the 1920s and 1930s 2017A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices 1990Cointegration-based tests of daily foreign exchange market efficiency 2007Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses 1996A note on cointegration and international capital market efficiency

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Year1989

Typearticle

Published1989-01-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations118

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0165-1765(89)90174-2

openalex_workW1600478152

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2014International stock market efficiency: a non-Bayesian time-varying model approach

1997Share market efficiency: tests using daily data for Australia and New Zealand

1997An Examination of ASEAN Stock Markets: A Cointegration Approach