Further Evidence on Foreign Exchange Market Efficiency: An Application of Cointegration Tests

John Phillip Lajaunie · Bruce L. McManis · Atsuyuki Naka

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

Abstract

Abstract This study extends and expands the body of evidence related to foreign exchange market efficiency by employing the single‐equation cointegration test proposed by Phillips and Ouliaris [19], and the Johansen [12] 1991 Full Information Maximum Likelihood procedure for a system of equations. Through the use of these updated techniques and a global data set, the authors are able to more carefully test for the presence of cointegrating relationships and examine the consistency of the results in three trading locations. The results are quite consistent across locations and are highly supportive of efficiency in the global foreign exchange market.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1970Efficient Capital Markets: A Review of Theory and Empirical Work 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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