Asian Economic and Financial Review | |
A Cointegration Test for Turkish Foreign Exchange Market Efficiency | |
关键词: Market efficiency; Forward rate unbiasedness; Spot exchange rates; Forward exchange rates; Financial markets; Turkey; | |
学科分类:社会科学、人文和艺术(综合) | |
来源: Asian Economic and Social Society | |
【 摘 要 】
This study examines the within-country market efficiency of the Turkish foreign exchange markets on the basis of the forward rate unbiasedness hypothesis, in case of the Turkish lira/US dollar and the Turkish lira/Euro for the period February 5, 2005 through July 26, 2013 by Johansen cointegration method. Unit root test results support the market efficiency in its weak-form. However, the existence of cointegration between the forward rates and its corresponding future spot rates with a unitary cointegrating vector and there exists no systematic expectation errors provide evidence for forward rate unbiasedness hypothesis and thus against market efficiency in semi-strong form. In the Turkish lira/US dollar foreign exchange market, the speed of adjustment towards long run equilibrium is a bit faster, and also the forward rates explain a bit more proportion of the movements of the spot rates in comparison with the Turkish lira/Euro market.
【 授权许可】
CC BY
【 预 览 】
Files | Size | Format | View |
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RO201902185754966ZK.pdf | 549KB | download |