IDEAS home Printed from https://ideas.repec.org/a/asi/aeafrj/v4y2014i4p451-471id1171.html
   My bibliography  Save this article

A Cointegration Test for Turkish Foreign Exchange Market Efficiency

Author

Listed:
  • Macide Çiçek

Abstract

This study examines the within-country market efficiency of the Turkish foreign exchange markets on the basis of the forward rate unbiasedness hypothesis, in case of the Turkish lira/US dollar and the Turkish lira/Euro for the period February 5, 2005 through July 26, 2013 by Johansen cointegration method. Unit root test results support the market efficiency in its weak-form. However, the existence of cointegration between the forward rates and its corresponding future spot rates with a unitary cointegrating vector and there exists no systematic expectation errors provide evidence for forward rate unbiasedness hypothesis and thus against market efficiency in semi-strong form. In the Turkish lira/US dollar foreign exchange market, the speed of adjustment towards long run equilibrium is a bit faster, and also the forward rates explain a bit more proportion of the movements of the spot rates in comparison with the Turkish lira/Euro market.

Suggested Citation

  • Macide Çiçek, 2014. "A Cointegration Test for Turkish Foreign Exchange Market Efficiency," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(4), pages 451-471.
    • Handle: RePEc:asi:aeafrj:v:4:y:2014:i:4:p:451-471:id:1171
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5002/article/view/1171/1705
    Download Restriction: no
    ---><---

    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:asi:aeafrj:v:4:y:2014:i:4:p:451-471:id:1171. 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: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5002/ .

    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.