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Efficiency of black markets in foreign currencies in Southeast Asia

  • Sarwar, Ghulam
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    File URL: http://www.sciencedirect.com/science/article/B6VGV-3SX8BMF-4/2/df0eb7db6d2bbf6b019232b77c18d610
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    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 7 (1997)
    Issue (Month): 4 (December)
    Pages: 333-344

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    Handle: RePEc:eee:mulfin:v:7:y:1997:i:4:p:333-344
    Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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    1. Campbell, John Y. & Shiller, Robert J., 1988. "Interpreting cointegrated models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 505-522.
    2. Gupta, Sanjeev, 1981. "A Note on the Efficiency of Black Markets in Foreign Currencies," Journal of Finance, American Finance Association, vol. 36(3), pages 705-10, June.
    3. Marco Tronzano, 1992. "Efficiency in German and Japanese foreign exchange markets: Evidence from cointegration techniques," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 128(1), pages 1-20, March.
    4. Alexander, C. O. & Johnson, A., 1992. "Are foreign exchange markets really efficient?," Economics Letters, Elsevier, vol. 40(4), pages 449-453, December.
    5. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
    6. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    7. Alexander, CO & A Johnson, 1992. "Are foreign exchange markets really efficient?," Discussion Papers in Economics 10/92, Department of Economics, University of Sussex.
    8. Chan, Kam C & Gup, Benton E & Pan, Ming-Shiun, 1992. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States," The Financial Review, Eastern Finance Association, vol. 27(2), pages 289-307, May.
    9. Dutt, Swarna D., 1994. "The foreign exchange market efficiency hypothesis revisiting the puzzle," Economics Letters, Elsevier, vol. 45(4), pages 459-465, August.
    10. Booth, G. Geoffrey & Mustafa, Chowdhury, 1991. "Long-run dynamics of black and official exchange rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 392-405, September.
    11. Sephton, Peter S. & Larsen, Hans K., 1991. "Tests of exchange market efficiency: fragile evidence from cointegration tests," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 561-570, December.
    12. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    13. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
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