Abstract
The purpose of this study is to test the Efficient Market Hypothesis (EMH) in the London foreign exchange market. The study relates the EMH to the information set which includes past prices for four foreign currencies. The goal is to determine if a long-run equilibrium relationship exists between the price series for the different currencies. The existence of such a relationship will be considered a direct violation of the EMH.
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© 1994 Dilip K. Ghosh and Edgar Ortiz
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Lajaunie, J.P., McManis, B.L., Naka, A. (1994). Foreign Exchange Market Efficiency: A Look at London. In: Ghosh, D.K., Ortiz, E. (eds) The Changing Environment of International Financial Markets. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-23161-4_2
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DOI: https://doi.org/10.1007/978-1-349-23161-4_2
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