MULTIVARIATE COINTEGRATION TESTING OF THE EFFICIENCY OF AUSTRALIA'S SPOT FOREX MARKET
作者:
Allan P. Layton,
Amirullah Tan,
期刊:
Accounting&Finance
(WILEY Available online 1992)
卷期:
Volume 32,
issue 1
页码: 63-70
ISSN:0810-5391
年代: 1992
DOI:10.1111/j.1467-629X.1992.tb00177.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
Abstract:Efficiency in Australia's spot FOREX market is tested using daily, weekly and four‐weekly data subsequent to the floating of the dollar in 1983. Earlier research using pairwise cointegration tests of currency markets has suggested little evidence of market inefficiencies. However, multivariate cointegration tests carried out in the paper, based on canonical transformation of the exchange rate data, suggest the existence of long run equilibrium relationships among the spot rates, implying the existence of market inefficiency in the FOREX marke
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