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Testing exchange rate efficiency: the case of euro-dollar

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  • Marco Mazzoli
  • Christian Barducci
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    Abstract

    This paper tests the semi-strong efficiency of the euro-dollar currency market by introducing a simple heuristic test, based on the 'general-to-specific' methodology and meant to include as two specific sub-cases the 'efficient market hypothesis' (EMH) in the currency market as well as alternative theories implying a time dependent process of propagation of information. According to the results of our nested test, the 'efficient market hypothesis' in the euro-dollar currency market is rejected.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal International Review of Applied Economics.

    Volume (Year): 23 (2009)
    Issue (Month): 4 ()
    Pages: 521-540

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    Handle: RePEc:taf:irapec:v:23:y:2009:i:4:p:521-540

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    Related research

    Keywords: information and market efficiency; foreign exchange;

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