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Random Walk as a Universal Test of Weak-Form Foreign Exchange Market Efficiency : A Proof

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Author Info
Edward E. Ghartey () (The University of the West Indies)
Abstract

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File URL: http://www.ffe.esc-lille.com/papers/ghartey.pdf
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Publisher Info
Article provided by Lille Graduate School of Management in its journal Frontiers in Finance and Economics.

Volume (Year): 1 (2004)
Issue (Month): 1 (June)
Pages: 37-45
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Handle: RePEc:ffe:journl:v:1:y:2004:i:1:p:37-45

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Web page: http://www.ffe.esc-lille.com

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Related research
Keywords: Martingale; rational expectation; random walk; weak-form foreign exchange market efficiency;

Find related papers by JEL classification:
F3 - International Economics - - International Finance
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. Frenkel, Jacob A & Levich, Richard M, 1977. "Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods," Journal of Political Economy, University of Chicago Press, vol. 85(6), pages 1209-26, December. [Downloadable!] (restricted)
  4. Dutt, Swarna D & Ghosh, Dipak, 1995. "The Foreign Exchange Market Efficiency Hypothesis Revisited," Applied Economics Letters, Taylor and Francis Journals, vol. 2(9), pages 311-15, September. [Downloadable!] (restricted)
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