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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 Johnson
Asset 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 Letters

ISSN

0165-1765

Publisher

Elsevier

Issue

4

Volume

40

Page range

449-453

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-09-26

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