SPOT EXCHANGE RATES AND FORWARD EXCHANGE RATES: A STATISTICAL TEST OF MARKET EFFICIENCY

Authors

  • Miguel A. Martínez-Damián

Keywords:

Exchange rate, future's market, efficiency

Abstract

This paper discusses the Hansen and Hodricks? proposal about the efficient market hypothesis, based on an univariate setup. This method ignores the possible interrelationship among markets. When this proposal is analyzed through a multimarket context, using a system of equations to test the idea of efficiency, the results show non-conclusive evidence about the initial hypothesis.

Downloads

Published

30-06-1996

Issue

Vol. 30 No. 2 (1996): 1996-abr-jun

Section

Socioeconomics

License

Agrociencia is published every 45 days, in an English format, and it is edited by the Colegio de Postgraduados. Mexico-Texcoco highway Km. 36.5, Montecillo, Texcoco, Estado de México, CP 56264, Telephone (52) 5959284427. www.colpos.mx. Editor-in-Chief: Dr. Fernando Carlos Gómez Merino. Rights Reserved for Exclusive Use: 04-2021-031913431800-203, e-ISSN: 2521-9766, granted by the National Institute for Author Right.