Cointegration-based tests of daily foreign exchange market efficiency

@inproceedings{Coleman1990CointegrationbasedTO,
  title={Cointegration-based tests of daily foreign exchange market efficiency},
  author={Mark Urlwin Coleman},
  year={1990}
}
Abstract An immediate implication of cointegration is the existence of Granger-causal orderings among cointegrated series. This implies that asset prices determined in a weakly efficient market cannot be cointegrated. This proposition is tested using daily data for 18 foreign currencies. Tests are conducted for both pairwise combinations of currencies and higher-order systems. No significant evidence of cointegration among exchange rates is found. 

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