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A Theoretical And Empirical Analysis On Efficiency Of The Foreign Exchange Markets : An Empirical Evaluation Of The British Pound, French Franc And Canadian Dollar Testing For Cointegration And Unbiasedness, Panagiotis Paleologos
A Theoretical And Empirical Analysis On Efficiency Of The Foreign Exchange Markets : An Empirical Evaluation Of The British Pound, French Franc And Canadian Dollar Testing For Cointegration And Unbiasedness, Panagiotis Paleologos
Theses
This paper discusses the important aspects of efficiency, expectations, and risk in the foreign exchange market. First, a brief presentation of the existing single-equation structural models of exchange-rate determination is given. A mathematical efficiency specification model is defined which employs of a system of interrelated equations testing the random walk and unbiasedness hypothesis. The model is validated by analyzing fluctuations in the spot and forward foreign exchange rates. Utilizing a regression estimation and many different specification and diagnostic tests for the series and the error terms (residuals), this study addresses the efficiency of the English, Canadian and French foreign exchange …