Une évaluation empirique de l'efficience du marché deschanges.

Abstract : This paper develops an empirical analysis of the exchange market efficiency hypothesis, based on its implications for the VAR representation. It proposes an extension of the existing tests. Using daily data for the main nominal exchange rates visa -vis the US dollar-namely the Japanese Yen, the British Pound, the Deutschmark and the French Franc-over the period spanning January 1980 to March 1994, Johansen's tests of cointegration are performed: the market efficiency hypothesis cannot be rejected form these results. It is thus necessary to complete the analysis with Granger causality tests. This provides results rejecting the martingale implication of the efficiency hypothesis. Résumé Une évaluation empirique de l'efficience du marché des changes
Document type :
Journal articles
Complete list of metadatas

Cited literature [36 references]  Display  Hide  Download

https://hal-upec-upem.archives-ouvertes.fr/hal-01851744
Contributor : Mélika Ben Salem <>
Submitted on : Monday, July 30, 2018 - 5:54:10 PM
Last modification on : Friday, February 8, 2019 - 2:02:02 PM
Long-term archiving on : Wednesday, October 31, 2018 - 2:20:53 PM

File

RE97_BBSY.pdf
Publisher files allowed on an open archive

Identifiers

Collections

Citation

Frédérique Bec, Mélika Ben Salem, Emma Ben Youssef. Une évaluation empirique de l'efficience du marché deschanges.. Revue Economique, Presses de Sciences Po, 1997, 48 (4), pp.921-936. ⟨http://www.persee.fr/doc/reco_0035-2764_1997_num_48_4_409922⟩. ⟨10.3917/reco.p1997.48n4.0921⟩. ⟨hal-01851744⟩

Share

Metrics

Record views

32

Files downloads

35