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Are foreign exchange markets really efficient?
journal contribution
posted on 2023-06-08, 12:22 authored by Carol AlexanderCarol Alexander, A JohnsonAsset 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.
History
Publication status
- Published
Journal
Economics LettersISSN
0165-1765Publisher
ElsevierExternal DOI
Issue
4Volume
40Page range
449-453Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-09-26Usage metrics
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