Exchange Rate Convergence and Market Efficiency
Access status:
Open Access
Type
Working PaperAbstract
The objective of this paper is to examine the market efficiency hypothesis for five major exchange rats of the Australian dollar using multivariate cointegration techniques. The conclusion is that cointegrated relations exist in foreign exchange markets when interdependence among exchange rates is accounted for.The objective of this paper is to examine the market efficiency hypothesis for five major exchange rats of the Australian dollar using multivariate cointegration techniques. The conclusion is that cointegrated relations exist in foreign exchange markets when interdependence among exchange rates is accounted for.
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Date
1991-12-01Issue
167Publisher
Department of EconomicsLicence
OtherFaculty/School
Faculty of Arts and Social Sciences, School of EconomicsShare