ARTÍCULO
TITULO

Efficiency Tests in Foreign Exchange Market

Yi Hsien Lee    
Khatanbaatar Sodoikhuu    

Resumen

The main purpose of the paper is applying filter rules to examine the efficiency of foreign exchange. This paper uses three strategies of filter rules (buy long, sell short, buy long and sell short strategies) to test the performance of the transaction for EUR, JPY, GBP. The findings show that people will obtain more return by taking buy long/ sell short strategies of filter rules without considering transaction cost. However, the transaction of these three foreign exchange rate (EUR, JPY, GBP) will be more efficient by considering transaction cost. The results imply the foreign exchange market is efficient for the EUR, JPY and GBP.Keywords: Filter rule; Foreign exchange; Market efficiencyJEL Classification : F30; F31; G14

 Artículos similares

       
 
Muhammad Shahid,Rukhsana Kalim     Pág. 25 - 33
Fiscal decentralization is one of the major policy variables to attain economic efficiency. The present study examines the impact of decentralized taxes on the economic growth of Pakistan from 1976 to 2018. For examining the stationarity of variables, Kw... ver más

 
Bak Barnaba Chol     Pág. 1 - 13
Since independence in 2011, the Republic of South Sudan has witnessed growth in the financial systems and the overall economy. This has led to growth in the number of financial institutions in the country. There is however minimal research on their overa... ver más

 
Omer Allagabo Omer Mustafa     Pág. 64 - 68
Through a regression model, the study highlighted the role of the banking finance and monetary policy in enhancing human development index (HDI) in Sudan during the period (1999-2018). The descriptive analytical approach was used to achieve the objective... ver más

 
Paulo Vitor Souza de Souza,César Augusto Tibúrcio Silva     Pág. 163 - 171
In this paper, we analyzed the effects of the crisis generated by the COVID-19 pandemic on international capital markets. We used the most representative indexes belonging to the stock markets of 44 world economies in daily time series with data from 01/... ver más

 
Osaretin Kayode Omoregie,Ikechukwu Kelikume     Pág. 277 - 283
This study investigates how six different measures of firm performance affect executive compensation in Nigerian insurance sector (2011-2016). The Im, Pesaran and Shin (IPS) and Kao Residual tests were employed to ascertain stationarity and cointegration... ver más