ARCH effects and cointegration: is the foreign exchange market efficient?

Article Abstract:

Foreign-exchange market efficiency is evaluated using the technique of cointegration. The French Franc/US$, the German Deutschemark/US$ and the Japanese Yen/US$ foreign currency markets from 1978-1992 were used in the evaluation. Results indicate that by using only cointegration techniques, only the Japanese foreign exchange market manifested efficiency. However, cointegration techniques used in conjunction with autoregressive conditional heteroskedasticity methodology indicated that all three currency markets displayed the property of efficiency.

Models, Foreign exchange, Foreign exchange market

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The inefficiency of Reuters foreign exchange quotes

Article Abstract:

The inefficiency of Reuters foreign exchange (FXFX) page's indicative quotes was established based on data that compare Reuters page with the Chicago Mercantile Exchange. Data showed that the futures market dominates quotes on Reuters FXFX page by up to three minutes. In terms of prescheduled news announcements, the dominance of futures market is lessened to about one minute.

Securities and Commodity Exchanges, Security and commodity exchanges, Commodity Exchanges, Research, Spot market, Chicago Mercantile Exchange Inc., Reuter Commodity Index (Index)

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Vagabond shoes longing to stray: why foreign firms list in the United States

Article Abstract:

A study of data from Israel and the United States on Israeli firms which have gone public is presented. The study examines which companies listed locally and which went for a foreign listing and what the determining factors were.

United States, Israel, Brief Article, Going public (Securities), Initial public offerings

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