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Efficiency Of Flexible Foreign Exchange Markets

Author

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  • Karmen, Bradley
  • Mann, Jitendar S.

Abstract

Statistical analysis is performed on daily exchange rates of five countries to determine the efficiency of these markets. This study shows that successive one-period changes of the exchange rates are serially independent and the price changes follow a random walk.

Suggested Citation

  • Karmen, Bradley & Mann, Jitendar S., 1981. "Efficiency Of Flexible Foreign Exchange Markets," Staff Reports 276714, United States Department of Agriculture, Economic Research Service.
    • Handle: RePEc:ags:uerssr:276714
    DOI: 10.22004/ag.econ.276714
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    File URL: https://ageconsearch.umn.edu/record/276714/files/ers-report-029.pdf
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    References listed on IDEAS

    as
    1. Mann, Jitendar S. & Heifner, Richard G., 1976. "The Distribution of Shortrun Commodity Price Movements," Technical Bulletins 158107, United States Department of Agriculture, Economic Research Service.
    2. Richard J Rogalski & Joseph D Vinso, 1978. "Empirical Properties of Foreign Exchange Rates," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 9(2), pages 69-79, June.
    3. M. F. M. Osborne, 1962. "Periodic Structure in the Brownian Motion of Stock Prices," Operations Research, INFORMS, vol. 10(3), pages 345-379, June.
    4. Ian H Giddy & Gunter Dufey, 1975. "The Random Behavior of the Flexible Exchange Rates: Implications for Forecasting," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 6(1), pages 1-32, March.
    5. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420-420.
    6. Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May.
    Full references (including those not matched with items on IDEAS)

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