An Empirical Analysis of Foreign Exchange Rates Under Efficient Market HypothesisCenter for Japan-U.S. Relations, International University of Japan, 1985 - Efficient market theory - 80 pages |
Contents
MARKET EFFICIENCY IN FOREIGN EXCHANGE | 3 |
RANDOM WALK MODEL AND MARKET EFFICIENCY | 26 |
TIME SERIES MODEL AND EXCHANGE RATES | 34 |
2 other sections not shown
Common terms and phrases
ARIMA CONST ARIMA model ARIMA processes autocorrelation autoregressive available information best predictor Box-Jenkins chapter coefficient denotes dollar/yen rate efficient market hypothesis empirical analysis empirical results estimation results examined the efficient expected return forecasting accuracy foreign exchange market FOREIGN EXCHANGE RATES forward exchange rate forward rate Frenkel fully reflected future exchange rates future spot exchange future spot rate George E. P. Box implications for further implies information set interest rate differential lagged logarithm market efficiency market participants martingale mean squared error Monthly data moving average multiple time series parameters PLOT OF SPOT random walk model regression models results of equation risk premium Section serially uncorrelated series data series model series process simple random walk speculative spot exchange rate St+1 TABLE TESTS OF FOREIGN Tokyo market transaction costs univariate time series variables weekly white noise yield to maturity York market zero