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Testing exchange rate efficiency: the case of euro-dollar


  • Marco Mazzoli
  • Christian Barducci


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.

Suggested Citation

  • Marco Mazzoli & Christian Barducci, 2009. "Testing exchange rate efficiency: the case of euro-dollar," International Review of Applied Economics, Taylor & Francis Journals, vol. 23(4), pages 521-540.
  • Handle: RePEc:taf:irapec:v:23:y:2009:i:4:p:521-540
    DOI: 10.1080/02692170902954817

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