Further Evidence on Foreign Exchange Market Efficiency: An Application of Cointegration Tests.

This study extends and expands the body of evidence related to foreign exchange market efficiency by employing the single-equation cointegration test proposed by Phillips and Ouliaris and the Johansen 1991 Full Information Maximum Likelihood procedure for a system of equations. Through the use of these updated techniques and a global data set, the authors are able to more carefully test for the presence of cointegrating relationships and examine the consistency of the results in three trading locations. The results are quite consistent across locations and are highly supportive of efficiency in the global foreign exchange market. Copyright 1996 by MIT Press.