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Empirical Studies of Nigeria's Foreign Parallel Market. II: Speculative Efficiency and Noisy Trading

Author

Listed:
  • Ayogu, M.

Abstract

Previous studies on the Nigerian parallel market found "return predictability". Based on this finding, we quantify, using Hansen's GMM estimation technique, the risk-return charateristics implicit in the simplest trading strategy of "buy and hold" an optimal portfolio of currencies. The risk-return profile suggests that profitable trading opportunities found in the Nigerian market may not indeed be exploitable.

Suggested Citation

  • Ayogu, M., 1997. "Empirical Studies of Nigeria's Foreign Parallel Market. II: Speculative Efficiency and Noisy Trading," Papers 69, African Economic Research Consortium.
    • Handle: RePEc:fth:afrirc:69
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    Cited by:

    1. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 315-332.

    More about this item

    Keywords

    NIGERIA ; EFFICIENCY ; PARALLEL ECONOMY;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • O17 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Formal and Informal Sectors; Shadow Economy; Institutional Arrangements

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