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DO AUSTRALIAN SPOT FOREIGN EXCHANGE RATES STILL SHOW EVIDENCE OF COINTEGRATION?

DO AUSTRALIAN SPOT FOREIGN EXCHANGE RATES STILL SHOW EVIDENCE OF COINTEGRATION? Informational efficiency in the Australian spot foreign exchange market has been examined by other authors, but most of these studies examine a time span that covers the immediate post‐float period. This article analyses a period that begins nearly three and a half years after the floating of the Australian dollar and applies Johansen's test to detect any cointegrating relationship in a system of five foreign currencies. It finds no evidence of cointegration and, therefore, supports the proposition of informational efficiency in the foreign exchange market. This result is in contrast to most other such studies of the Australian market and may be partly due to the increasing maturity and sophistication of the market participants in dealing with a floating currency. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

DO AUSTRALIAN SPOT FOREIGN EXCHANGE RATES STILL SHOW EVIDENCE OF COINTEGRATION?

Accounting & Finance , Volume 35 (2) – Nov 1, 1995

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References (18)

Publisher
Wiley
Copyright
© 1995 Accounting and Finance Association of Australia and New Zealand
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/j.1467-629X.1995.tb00293.x
Publisher site
See Article on Publisher Site

Abstract

Informational efficiency in the Australian spot foreign exchange market has been examined by other authors, but most of these studies examine a time span that covers the immediate post‐float period. This article analyses a period that begins nearly three and a half years after the floating of the Australian dollar and applies Johansen's test to detect any cointegrating relationship in a system of five foreign currencies. It finds no evidence of cointegration and, therefore, supports the proposition of informational efficiency in the foreign exchange market. This result is in contrast to most other such studies of the Australian market and may be partly due to the increasing maturity and sophistication of the market participants in dealing with a floating currency.

Journal

Accounting & FinanceWiley

Published: Nov 1, 1995

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