Empirical Studies of Nigeria's Foreign Parallel Market. II: Speculative Efficiency and Noisy Trading

Previous studies on the Nigerian parallel market found "return predictability". Based on this finding, we quantify, using Hansen's GMM estimation technique, the risk-return charateristics implicit in the simplest trading strategy of "buy and hold" an optimal portfolio of currencies. The risk-return profile suggests that profitable trading opportunities found in the Nigerian market may not indeed be exploitable.

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Year of publication:	1997
Authors:	Ayogu, M.
Institutions:	African Economic Research Consortium
Subject:	NIGERIA \| EFFICIENCY \| PARALLEL ECONOMY

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Series:	African Economic Research Consortium.
Type of publication:	Book / Working Paper
Notes:	28 pages
Classification:	G10 - General Financial Markets. General ; O17 - Formal and Informal Sectors; Shadow Economy; Institutional Arrangements
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005669389