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A note on cointegration and international capital market efficiency

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  • Engel, Charles

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  • Engel, Charles, 1996. "A note on cointegration and international capital market efficiency," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 657-660, August.
    • Handle: RePEc:eee:jimfin:v:15:y:1996:i:4:p:657-660
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    References listed on IDEAS

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    1. Alexander, CO & A Johnson, 1992. "Are foreign exchange markets really efficient?," Discussion Papers in Economics 10/92, Department of Economics, University of Sussex Business School.
    2. Engel, Charles, 1992. "On the foreign exchange risk premium in a general equilibrium model," Journal of International Economics, Elsevier, vol. 32(3-4), pages 305-319, May.
    3. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
    4. Baffes, John, 1994. "Does comovement among exchange rates imply market inefficiency?," Economics Letters, Elsevier, vol. 44(3), pages 273-280.
    5. Crowder, William J, 1994. "Foreign exchange market efficiency and common stochastic trends," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 551-564, October.
    6. Coleman, Mark, 1990. "Cointegration-based tests of daily foreign exchange market efficiency," Economics Letters, Elsevier, vol. 32(1), pages 53-59, January.
    7. Sephton, Peter S. & Larsen, Hans K., 1991. "Tests of exchange market efficiency: fragile evidence from cointegration tests," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 561-570, December.
    8. MacDonald, Ronald & Taylor, Mark P., 1989. "Foreign exchange market efficiency and cointegration : Some evidence from the recent float," Economics Letters, Elsevier, vol. 29(1), pages 63-68.
    9. Dwyer, Gerald Jr. & Wallace, Myles S., 1992. "Cointegration and market efficiency," Journal of International Money and Finance, Elsevier, vol. 11(4), pages 318-327, August.
    10. Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. "On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 727-735, June.
    11. Alexander, C. O. & Johnson, A., 1992. "Are foreign exchange markets really efficient?," Economics Letters, Elsevier, vol. 40(4), pages 449-453, December.
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