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Market efficiency and cointegration: Some evidence in Pacific-Basin black exchange markets

โœ Scribed by Kam C. Chan; Louis T. W. Cheng; Ming-Shiun Pan


Book ID
105660382
Publisher
Springer US
Year
1997
Tongue
English
Weight
447 KB
Volume
21
Category
Article
ISSN
1055-0925

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## Abstract We examine the purchasing power parity (PPP) hypothesis using a unique panel of monthly data on black market exchange rates for 34 emerging market economies. We apply a large number of recent heterogeneous panel unit root and cointegration tests. Panel unit root tests reject mean revers