Cointegration and market efficiency: a time series analysis of the Greek drachma

Cointegration and market efficiency: a time series analysis of the Greek drachma

We use multivariate cointegration techniques to examine market efficiency with respect to five bilateral exchange rates of the Greek drachma. The conclusion is that the five exchange rates possess one long-run relationship and that the existence of the cointegration relation is not affected by tempo...

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Veröffentlicht in:Applied economics letters 1995-08, Vol.2 (8), p.271-277
Hauptverfasser: Diamandis, Panayiotis F., Kouretas, Georgios P.
Format: Artikel
Sprache:eng
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Zusammenfassung:We use multivariate cointegration techniques to examine market efficiency with respect to five bilateral exchange rates of the Greek drachma. The conclusion is that the five exchange rates possess one long-run relationship and that the existence of the cointegration relation is not affected by temporal instability. The market efficiency hypothesis is therefore rejected.
ISSN:1350-4851
1466-4291
DOI:10.1080/135048595357212