Journal of Economics and Finance

, Volume 23, Issue 2, pp 157–161 | Cite as

A note on the foreign exchange market efficiency hypothesis

  • Swarna D. Dutt
  • Dipak Ghosh


This paper examines the weak and strong forms of the foreign exchange market efficiency hypothesis (MEH) (as defined in the paper) using the recently available Harris-Inder null of cointegration procedure, which is powerful enough to distinguish between cointegration and near cointegration, and thus provide more robust results than conventional cointegration tests. Our results indicate that both forms of the MEH are rejected for all the major currencies of the European Economic Community (EEC). (JEL F310).


Exchange Rate Unit Root Cointegration Test Forward Rate European Economic Community 
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Copyright information

© Springer 1999

Authors and Affiliations

  • Swarna D. Dutt
    • 1
  • Dipak Ghosh
    • 2
  1. 1.Department of Economics, Richards College of BusinessState University of West GeorgiaCarrollton
  2. 2.Division of Management, Marketing, Finance, and Economics, Box 4058, 1200 Commercial StreetEmporia State UniversityEmporia

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