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

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

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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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Main Author: Martínez-Damián, Miguel A.
Format: Digital revista
Language:spa
Published: Colegio de Postgraduados 1996
Online Access:https://www.agrociencia-colpos.org/index.php/agrociencia/article/view/1371
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id oai:ojs.pkp.sfu.ca:article1371
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spelling oai:ojs.pkp.sfu.ca:article13712020-05-14T05:40:04Z SPOT EXCHANGE RATES AND FORWARD EXCHANGE RATES: A STATISTICAL TEST OF MARKET EFFICIENCY TASAS DE CAMBIO INMEDIATAS Y TASAS DE CAMBIO A FUTURO: UNA PRUEBA ESTADISTICA DE EFICIENCIA DE UN MERCADO Martínez-Damián, Miguel A. Exchange rate future's market efficiency Tasa de cambio mercado a futuro eficiencia 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. En este artículo se discute la propuesta de Hansen y Hodrick referente a probar la hipótesis de eficiencia, basada en una metodología uniecuacional. Esto ignora la posible relación entre mercados. Aquí se evalúa dicha propuesta en un contexto multimercantil empleando un sistema de ecuaciones para probar la idea de eficiencia. Los resultados muestran evidencia no concluyente en torno a dicha hipótesis. Colegio de Postgraduados 1996-06-30 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Artículo revisado por pares application/pdf https://www.agrociencia-colpos.org/index.php/agrociencia/article/view/1371 Agrociencia; Vol. 30 No. 2 (1996): 1996-abr-jun; 275-278 Agrociencia; Vol. 30 Núm. 2 (1996): 1996-abr-jun; 275-278 2521-9766 1405-3195 spa https://www.agrociencia-colpos.org/index.php/agrociencia/article/view/1371/1371
institution COLPOS
collection OJS
country México
countrycode MX
component Revista
access En linea
databasecode rev-agrociencia-mx
tag revista
region America del Norte
libraryname Departamento de documentación y biblioteca de COLPOS
language spa
format Digital
author Martínez-Damián, Miguel A.
spellingShingle Martínez-Damián, Miguel A.
SPOT EXCHANGE RATES AND FORWARD EXCHANGE RATES: A STATISTICAL TEST OF MARKET EFFICIENCY
author_facet Martínez-Damián, Miguel A.
author_sort Martínez-Damián, Miguel A.
title SPOT EXCHANGE RATES AND FORWARD EXCHANGE RATES: A STATISTICAL TEST OF MARKET EFFICIENCY
title_short SPOT EXCHANGE RATES AND FORWARD EXCHANGE RATES: A STATISTICAL TEST OF MARKET EFFICIENCY
title_full SPOT EXCHANGE RATES AND FORWARD EXCHANGE RATES: A STATISTICAL TEST OF MARKET EFFICIENCY
title_fullStr SPOT EXCHANGE RATES AND FORWARD EXCHANGE RATES: A STATISTICAL TEST OF MARKET EFFICIENCY
title_full_unstemmed SPOT EXCHANGE RATES AND FORWARD EXCHANGE RATES: A STATISTICAL TEST OF MARKET EFFICIENCY
title_sort spot exchange rates and forward exchange rates: a statistical test of market efficiency
description 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.
publisher Colegio de Postgraduados
publishDate 1996
url https://www.agrociencia-colpos.org/index.php/agrociencia/article/view/1371
work_keys_str_mv AT martinezdamianmiguela spotexchangeratesandforwardexchangeratesastatisticaltestofmarketefficiency
AT martinezdamianmiguela tasasdecambioinmediatasytasasdecambioafuturounapruebaestadisticadeeficienciadeunmercado
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