Testing the efficiency of the Australian foreign exchange market

McGuigan, Karen L. (1994). Testing the efficiency of the Australian foreign exchange market Honours Thesis, School of Economics, University of Queensland.

       
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Author McGuigan, Karen L.
Thesis Title Testing the efficiency of the Australian foreign exchange market
School, Centre or Institute School of Economics
Institution University of Queensland
Publication date 1994
Thesis type Honours Thesis
Total pages 95
Language eng
Subjects 14 Economics
Formatted abstract
In this thesis, the efficiency of the Australian foreign exchange market has been investigated using the technique of cointegration. Forward and spot rate data covering the period April 1978 to July 1994 was collected on a weekly basis. The spot and forward rates were found to be cointegrated, however, the null hypothesis of an efficient market and no risk premium was rejected. Due to the joint hypothesis, it is not possible to conclude whether or not the foreign exchange market is efficient, however, arguments for the rejection of both parts of the joint hypothesis are argued in this thesis.

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
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Created: Tue, 23 Nov 2010, 14:02:22 EST by Ning Jing on behalf of The University of Queensland Library