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Abstract: The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates

Published online by Cambridge University Press:  19 October 2009

W. Bradford Cornell  and
J. Kimball Dietrich
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Extract

Our paper reports on tests of the weak form of the efficient markets hypothesis applied to spot foreign exchange contracts for the Canadian dollar, Swiss franc, Dutch guilder, German mark, British pound, and Japanese yen, during the period March, 1973, to August, 1973. We conclude that the evidence favors the efficient market hypotheses, and find that the behavior of one-day rates of return on spot contracts resembles the behavior noted for other speculative prices.

Type
XI. Capital Market Theory
Information
Journal of Financial and Quantitative Analysis , Volume 11 , Issue 4 , November 1976 , pp. 641
Copyright
Copyright © School of Business Administration, University of Washington 1976

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