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A reexamination of the market efficiency hypothesis: Evidence from an electronic intra-day, inter-dealer FX market

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  • Lo, Melody
  • Lee, Cheng-Few
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-4M7CMJ8-1/2/a24cc7ce91cc9ea9a96393b2459e45a0
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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 46 (2006)
    Issue (Month): 4 (September)
    Pages: 565-585

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    Handle: RePEc:eee:quaeco:v:46:y:2006:i:4:p:565-585

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    Web page: http://www.elsevier.com/locate/inca/620167

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    1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    2. Gu, Anthony Yanxiang & Finnerty, Joseph, 2002. " The Evolution of Market Efficiency: 103 Years Daily Data of the Dow," Review of Quantitative Finance and Accounting, Springer, vol. 18(3), pages 219-37, May.
    3. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    4. Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
    5. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October.
    6. Cartwright, Phillip A & Lee, Cheng F, 1987. "Time Aggregation and the Estimation of the Market Model: Empirical Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 131-43, January.
    7. Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
    8. repec:att:wimass:9002 is not listed on IDEAS
    9. Carlson, John A. & Lo, Melody, 2006. "One minute in the life of the DM/US$: Public news in an electronic market," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1090-1102, November.
    10. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
    11. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
    12. Levich, Richard M, 1989. "Is the Foreign Exchange Market Efficient?," Oxford Review of Economic Policy, Oxford University Press, vol. 5(3), pages 40-60, Autumn.
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    Cited by:
    1. Azad, A.S.M. Sohel, 2009. "Random walk and efficiency tests in the Asia-Pacific foreign exchange markets: Evidence from the post-Asian currency crisis data," Research in International Business and Finance, Elsevier, vol. 23(3), pages 322-338, September.

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