- 1
- Alexander, C. O. and A. Johnson (1992), Are foreign exchange markets really efficient? Economics Letters, 40, 449-453.

Total in-text references: 1- In-text reference with the coordinate start=1789
- Prefix
- Introduction The weak-form efficiency hypothesis of foreign exchange markets presents testable implications for the time series behavior of systems of spot currency rates.1 Researchers’ empirical findings of cointegration in systems of spot exchange rates
- Exact
- (Alexander and Johnson (1992), Lopez (1996), and
- Suffix
- Baillie and Bollerslev (1989, 1994a), inter alia) would seem to contradict the market efficiency hypothesis, since a cointegrated system necessarily implies the presence of predictability of returns in at least one currency.2, 3 Does the existence of cointegration among spot rates imply a rejection of the market efficiency hypothesis?4 Crowder

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- Im, Kyong So, Pesaran, M. Hashem, and Yongcheol Shin (1995), Testing for unit roots in heterogeneous panels, unpublished paper, Department of Applied

Total in-text references: 1- In-text reference with the coordinate start=13102
- Prefix
- Taylor and Sarno (1998) show that the JLR test statistic in (8) is asymptotically distributed as χ21() under the null hypothesis. The JLR multivariate test employed here offers important methodological advantages over first-generation panel-unit root tests proposed by Levin and Lin (1992, 1993),
- Exact
- Im et al. (1995),
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- O'Connell (1998), and others. Such tests have as their null hypothesis that all variables in the panel are realizations of unit-root processes. Hence, this null will be rejected if even one of the series in the panel is stationary.

- In-text reference with the coordinate start=13102
- 19
- Johansen, Soren (1992), Cointegration in partial systems and the efficiency of single equation analysis, Journal of Econometrics, 52, 389-402.

Total in-text references: 1- In-text reference with the coordinate start=10481
- Prefix
- Given equation (4), the integration order of the forward premium has direct implications for the stochastic structure of the currency risk premium and, consequently, for foreign exchange market efficiency. 3. The Johansen Likelihood Ratio (JLR) Test
- Exact
- Johansen (1992)
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- suggests a maximum likelihood method to determine the number of common trends in a system of unit-root variables. Without any loss of generality, a p –dimensional vector autoregressive (VAR) process of k–th order can be written as follows: ∆tX = μ +1Θt−1∆X + ... + k−1Θt−k+1∆X + t−kΠX + tε (5) where ∆ is the first-difference operator, μ is a (p x 1) matrix of co

- In-text reference with the coordinate start=10481
- 24
- Lopez, Jose (1996), Exchange rate cointegration across central bank regime shifts, Federal Reserve

Total in-text references: 1- In-text reference with the coordinate start=1789
- Prefix
- Introduction The weak-form efficiency hypothesis of foreign exchange markets presents testable implications for the time series behavior of systems of spot currency rates.1 Researchers’ empirical findings of cointegration in systems of spot exchange rates
- Exact
- (Alexander and Johnson (1992), Lopez (1996), and
- Suffix
- Baillie and Bollerslev (1989, 1994a), inter alia) would seem to contradict the market efficiency hypothesis, since a cointegrated system necessarily implies the presence of predictability of returns in at least one currency.2, 3 Does the existence of cointegration among spot rates imply a rejection of the market efficiency hypothesis?4 Crowder

- In-text reference with the coordinate start=1789
- 25
- Luintel, K. B. and K. Paudyal (1998), Common stochastic trends between forward and spot exchange rates, Journal of International Money and Finance, 17, 279-297.

Total in-text references: 1- In-text reference with the coordinate start=3836
- Prefix
- Using daily data for four currencies, Crowder (1992) finds that forward premium series are nonstationary processes. Crowder (1994) confirms such unit-root evidence for monthly forward premium series for three currencies, and concludes that the data do not support the market efficiency hypothesis.
- Exact
- Luintel and Paudyal (1998)
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- find daily forward premium series for five currencies to be realizations of unit-root processes, while Horvath and Watson (1995) and Clarida and Taylor (1997) reach the conclusion that forward premiums are stationary processes.

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- O'Connell, Paul (1998), The overvaluation of purchasing power parity, Journal o f

Total in-text references: 1- In-text reference with the coordinate start=13130
- Prefix
- The JLR multivariate test employed here offers important methodological advantages over first-generation panel-unit root tests proposed by Levin and Lin (1992, 1993), Im et al. (1995), O'
- Exact
- Connell (1998), and
- Suffix
- others. Such tests have as their null hypothesis that all variables in the panel are realizations of unit-root processes. Hence, this null will be rejected if even one of the series in the panel is stationary.

- In-text reference with the coordinate start=13130