Yi Hsien Lee, Khatanbaatar Sodoikhuu

94136

Efficiency Tests in Foreign Exchange Market

Efficiency Tests in Foreign Exchange Market

The main purpose of the paper is applying filter rules to examine the efficiency of foreign exchange. This paper uses three strategies of filter rules (buy long, sell short, buy long and sell short strategies) to test the performance of the transaction for EUR, JPY, GBP. The findings show that people will obtain more return by taking buy long/ sell short strategies of filter rules without considering transaction cost. However, the transaction of these three foreign exchange rate (EUR, JPY, GBP) will be more efficient by considering transaction cost. The results imply the foreign exchange market is efficient for the EUR, JPY and GBP.

Keywords:

Filter rule Foreign exchange, Market efficiency,

International Journal of Economics and Financial Issues-Cover

Başlangıç: 2011
Yayıncı: İlhan ÖZTÜRK

Arşiv

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Efficiency Tests in Foreign Exchange Market

Yi Hsien Lee, Khatanbaatar Sodoikhuu