A COINTEGRATION TEST FOR TURKISH FOREIGN EXCHANGE MARKET EFFICIENCY
Journal Title: Asian Economic and Financial Review - Year 2014, Vol 4, Issue 4
Abstract
This study examines the within-country market efficiency of the Turkish foreign exchange markets on the basis of the forward rate unbiasedness hypothesis, in case of the Turkish lira/US dollar and the Turkish lira/Euro for the period February 5, 2005 through July 26, 2013 by Johansen cointegration method. Unit root test results support the market efficiency in its weak-form. However, the existence of cointegration between the forward rates and its corresponding future spot rates with a unitary cointegrating vector and there exists no systematic expectation errors provide evidence for forward rate unbiasedness hypothesis and thus against market efficiency in semi-strong form. In the Turkish lira/US dollar foreign exchange market, the speed of adjustment towards long run equilibrium is a bit faster, and also the forward rates explain a bit more proportion of the movements of the spot rates in comparison with the Turkish lira/Euro market.
Authors and Affiliations
Macide Çiçek| Associate Prof. Dr. Dumlupınar University, Faculty of Economics and Administrative Sciences, Departmant of Economics, Kütahya, Turkey
Keywords
Related Articles
- EP ID EP2021
- DOI -
- Views 483
- Downloads 48
THE ROLE OF PRODUCTIVITY IN ECONOMIC GROWTH AND EQUILIBRIUM
This study reexamines the evidence for the Balassa-Samuelson effect for the 1985-2007 period. Cointegrating relationships between the real exchange rate and productivity, real price of oil and government spending a...
THE DETERMINANTS OF PROFIT FORECAST BY TUNISIAN COMPANIES
This paper aims to examine the impact of the determinants of profit forecast by companies on the level of detail of information published by the leaders. It analyzes the contribution of publications to reduce information...
WHAT MATTERS FOR ECONOMIC GROWTH IN PAKISTAN: FISCAL POLICY OR ITS COMPOSITION?
This study employed autoregressive distributed lag (ARDL) model to examines the impact of various fiscal policy variables, such as, productive expenditures, non-productive expenditures, distortionary taxes and non-distor...
CONTRIBUTION OF ADVANCED TECHNOLOGY AND FOREIGN CAPITAL TO GROWTH OF DIFFERENT STAGE OF DEVELOPMENT COUNTRIES
This study determines influence of advanced technology and foreign capital on economic growth apart from contribution of the other major domestic inputs. The countries were classified into four groups; i.e., lower and lo...
ESTIMATION OF URBAN-RURAL EXPENDITURE AND HOUSEHOLD SIZE ELASTICITIES OF FOOD ITEMS IN PAKISTAN:- EVIDENCE FROM PSLM SURVEY
This study evaluates the household food demand patterns among different income sorts in urban and rural areas of Pakistan and estimation of food expenditure and household size elasticities. The different income sorts are...