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Foreign exchange market efficiency tests: Implications of recent empirical findings

Citations

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Cited by:

  1. Keith Pilbeam & Jose Olmo, 2011. "The forward discount puzzle and market efficiency," Annals of Finance, Springer, vol. 7(1), pages 119-135, February.
  2. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
  3. Alejandro Islas-Camargo & Willy Walter Cortez & Tania Pamela Sanabria Flores, 2018. "Is Mexico's Forward Exchange Rate Market Efficient?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(2), pages 273-289, Abril-Jun.
  4. L. Menkhoff & M. Schlumberger, 1995. "Persistent profitability of technical analysis on foreign exchange markets?," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 48(193), pages 189-215.
  5. Raj Aggarwal & Brian M. Lucey & Sunil K. Mohanty, 2006. "The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests," The Institute for International Integration Studies Discussion Paper Series iiisdp123, IIIS.
  6. Crowder, William J., 1995. "Covered interest parity and international capital market efficiency," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 115-132.
  7. H. Van Gemert & N. Gruijters, 1994. "Patterns of financial change in the OECD area," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 47(190), pages 271-294.
  8. Stuart Landon & Constance E. Smith, 2003. "The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen–Dollar Rate," Review of International Economics, Wiley Blackwell, vol. 11(1), pages 144-158, February.
  9. Vajanne, Laura, . "The Exchange Rate Under Target Zones," ETLA A, The Research Institute of the Finnish Economy, number 16.
  10. John Pippenger, 1991. "Forward rates as predictors of future spot rates in small open economies: The case of Kuwait," Open Economies Review, Springer, vol. 2(2), pages 183-201, June.
  11. Wu, Berlin & Chang, Chih-Li, 2002. "Using genetic algorithms to parameters (d,r) estimation for threshold autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 38(3), pages 315-330, January.
  12. Juan Carlos Cuestas & Fabio Filipozzi & Karsten Staehr, 2017. "Uncovered interest parity in Central and Eastern Europe: Expectations and structural breaks," Review of International Economics, Wiley Blackwell, vol. 25(4), pages 695-710, September.
  13. Keith Pilbeam, 2001. "Economic Fundamentals and Exchange Rate Movements," International Review of Applied Economics, Taylor & Francis Journals, vol. 15(1), pages 55-64.
  14. Raj Aggarwal & Winston T. Lin & Sunil K. Mohanty, 2008. "Are Forward Exchange Rates Rational Forecasts of Future Spot Rates? An Improved Econometric Analysis for the Major Currencies," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 1-20, March-Jun.
  15. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 23-42, March.
  16. Joachim Zietz & Ghassem Homaifar, 1994. "Exchange rate uncertainty and the efficiency of the forward market for foreign exchange," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(3), pages 461-475, September.
  17. Kenneth A. Froot & Jeffrey A. Frankel, 1986. "Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations," NBER Working Papers 1963, National Bureau of Economic Research, Inc.
  18. H. Van Gemert & N. Gruijters, 1994. "Patterns of financial change in the OECD area," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 47(190), pages 271-294.
  19. John Anderson, 2003. "A Test of Weak-Form Market Efficiency in Australian Bank Bill Futures Calendar Spreads," School of Economics and Finance Discussion Papers and Working Papers Series 134, School of Economics and Finance, Queensland University of Technology.
  20. HeeJoon Kang, 1992. "Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation," Open Economies Review, Springer, vol. 3(2), pages 215-232, June.
  21. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank.
  22. Stephen J. Taylor, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 105-116, December.
  23. Juan Carlos Cuestas & Fabio Filipozzi & Karsten Staehr, 2015. "Uncovered Interest Parity in Central and Eastern Europe: Sample, Expectations and Structural Breaks," Working Papers 2015014, The University of Sheffield, Department of Economics.
  24. Guneratne B Wickremasinghe & Jae H Kim, 2008. "Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(2), pages 169-196, August.
  25. Anderson, John A. & Faff, Robert W., 2008. "Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 198-217.
  26. Winston T. Lin & Hong-Jen Lin & Yueh H. Chen, 2002. "The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(3-4), pages 167-195, September.
  27. Josef Arlt & Martin Mandel, 2017. "An Empirical Analysis of Relationships between the Forward Exchange Rates and Present and Future Spot Exchange Rates Example of CZK/USD and CZK/EUR," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 199-220, June.
  28. Kevin Ross, 1991. "Contemporaneous Reserve Accounting, M1 Announcements and Exchange Rate Movements," Eastern Economic Journal, Eastern Economic Association, vol. 17(2), pages 177-187, Apr-Jun.
  29. Winston T. Lin, 1999. "Dynamic and Stochastic Instability and the Unbiased Forward Rate Hypothesis: A Variable Mean Response Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 3(3), pages 173-221, September.
  30. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
  31. Joachim Zietz, 1994. "An Expanded Graphical Representation of the Portfolio Balance Model of Exchange Rate Determination," The American Economist, Sage Publications, vol. 38(2), pages 52-57, October.
  32. Christodoulakis, Nicos M. & Kalyvitis, Sarantis C., 1997. "Efficiency testing revisited: a foreign exchange market with Bayesian learning," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 367-385, June.
  33. Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981.
  34. Guneratne Banda Wickremasinghe, 2004. "Efficiency of the Foreign Exchange Market of Papua New Guinea During the Recent Float," International Trade 0406007, University Library of Munich, Germany.
  35. Kees G. Koedijk & Mack Ott, 1987. "Risk aversion, efficient markets and the forward exchange rate," Review, Federal Reserve Bank of St. Louis, issue Dec, pages 5-13.
  36. Jose Olmo & Keith Pilbeam, 2009. "The profitability of carry trades," Annals of Finance, Springer, vol. 5(2), pages 231-241, March.
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