کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5087826 1375458 2007 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Examination of the efficient market hypothesis-the case of post-crisis Asia Pacific countries
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Examination of the efficient market hypothesis-the case of post-crisis Asia Pacific countries
چکیده انگلیسی

This paper applies the foreign exchange market efficiency argument to post 1997 Asian (Korea, Taiwan, Thailand, Indonesia, Malaysia, Philippines, Japan, Singapore) and Australasian (Australia, New Zealand) countries by employing a VAR based Johansen co-integration approach. The regression tests are carried out for a full sample panel data, covering the 31 December 1996 to 15 May 2003 time span, of 1649 observations for spot (conversely forward) nominal exchange rates. Moreover, a Malaysian pre-peg sub-period (31 December 1996 to 2 September 1998) was also used for comparative purposes. The paper includes different testing procedures. In addition to the evidence obtained from the across-country study, cointegration tests were performed in order to re-examine within-country co-movements between forward and future spot exchange rates. The test results generally support the market efficiency hypothesis.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Asian Economics - Volume 18, Issue 2, April 2007, Pages 294-313
نویسندگان
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