IDEAS home Printed from https://ideas.repec.org/a/ids/ijelfi/v2y2008i3p330-347.html
   My bibliography  Save this article

The informational efficiency of the black and official exchange markets of DR-CAFTA nations

Author

Listed:
  • Shuming Bai
  • Kai S. Koong
  • Lai C. Liu
  • Binshan Lin

Abstract

This study examines the long-run informational efficiency and short-run predictability of the black and official exchange markets of Dominican Republic-Central American Free Trade Agreement (DR-CAFTA) nations. Applying a battery of nonparametric as well as time series models, this study finds that the black market information exhibited a nonrandom behaviour. In four of the six examined countries, the black and official markets were found to have a co-integrating relationship. Both the vector error correction model and the Granger causality test confirmed that the black market information was a good predictor of the official rates.

Suggested Citation

  • Shuming Bai & Kai S. Koong & Lai C. Liu & Binshan Lin, 2008. "The informational efficiency of the black and official exchange markets of DR-CAFTA nations," International Journal of Electronic Finance, Inderscience Enterprises Ltd, vol. 2(3), pages 330-347.
    • Handle: RePEc:ids:ijelfi:v:2:y:2008:i:3:p:330-347
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=20600
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijelfi:v:2:y:2008:i:3:p:330-347. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=171 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.