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A note on the foreign exchange market efficiency hypothesis

โœ Scribed by Swarna D. Dutt; Dipak Ghosh


Book ID
110659707
Publisher
Springer US
Year
1999
Tongue
English
Weight
300 KB
Volume
23
Category
Article
ISSN
1055-0925

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A large empirical literature has tested the unbiasedness hypothesis in the foreign-exchange market with the use of forward exchange rates. This article amends the conventional testing framework to exploit the information in currency options, with a newly constructed data set for three major dollar e