SPOT EXCHANGE RATES AND FORWARD EXCHANGE RATES: A STATISTICAL TEST OF MARKET EFFICIENCY
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.
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| Format: | Digital revista |
| Language: | spa |
| Published: |
Colegio de Postgraduados
1996
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| Online Access: | https://www.agrociencia-colpos.org/index.php/agrociencia/article/view/1371 |
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