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Covered Interest Parity: A High-Frequency, High-Quality Data Study Author info | Abstract | Publisher info | Download info | Related research | Statistics Taylor, Mark P
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Profitable deviations from covered interest parity (CIP) represent riskless arbitrage opportunities and so indicate market ineffic iency. Previous empirical work on CIP uses noncontemporaneously sampl ed data and reports mixed results. This paper uses high-frequency (te n-minute), high-quality data, gathered personally by the author in th e London foreign-exchange market, to test the CIP condition. The resu lts overwhelmingly support the market-efficiency hypothesis. Copyright 1987 by The Review of Economic Studies Limited.
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Article provided by London School of Economics and Political Science in its journal Economica .
Volume (Year): 54 (1987)
Issue (Month): 216 (November)
Pages: 429-38
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Handle: RePEc:bla:econom:v:54:y:1987:i:216:p:429-38Contact details of provider: Postal: Houghton Street, London WC2A 2AE Phone: +44 (020) 7405 7686 Web page: http://www.blackwellpublishing.com/journal.asp?ref=0013-0427 More information through EDIRC
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