Foreign exchange market efficiency tests: Implications of recent empirical findings

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

Expectations and Exchange Rate Dynamics

1976 • 4,751 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Forward and spot exchange rates

1984 • 2,213 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

The handbook of international economics

1995 • 1,494 citations

Information and Competitive Price Systems

1976 • 902 citations

Market Fundamentals versus Price-Level Bubbles: The First Tests

1980 • 539 citations

Speculative bubbles, crashes and rational expectations

1979 • 532 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Exchange Rate Theory and Practice

1984 • 506 citations

Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market

1979 • 494 citations

Bubbles, Rational Expectations and Financial Markets

1982 • 459 citations

The "Speculative Efficiency" Hypothesis

1981 • 440 citations

Exchange rates and international macroeconomics

1984 • 403 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 379 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

The ‘peso problem’ in testing the efficiency of forward exchange markets

1980 • 315 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

Crises in the economic and financial structure

1983 • 271 citations

Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?

1986 • 268 citations

Two-step two-stage least squares estimation in models with rational expectations

1983 • 259 citations

Floating Exchange Rates: Experience and Prospects

1985 • 253 citations

Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974)

1976 • 205 citations

The covariation of risk premiums and expected future spot exchange rates

1986 • 197 citations

Testing Rational Expectations and Efficiency in the Foreign Exchange Market

1983 • 187 citations

A Note on Exchange‐Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 186 citations

On time varying risk premia in the foreign exchange market: An econometric analysis

1985 • 177 citations

On the effects of sterilized intervention

1984 • 161 citations

Tests of rational expectations and no risk premium in forward exchange markets

1984 • 158 citations

Market "Efficiency" in a Market with Heterogeneous Information

1978 • 156 citations

The Pricing of Forward Contracts for Foreign Exchange

1985 • 142 citations

International economic policy: Theory and evidence

1980 • 134 citations

Testing the Efficiency of the Canadian‐U.S. Exchange Market under the Assumption of no Risk Premium

1981 • 130 citations

The International Transmission of Inflation

1984 • 125 citations

The diversifiability of exchange risk

1979 • 123 citations

A Test of Perfect Substitutability in the Foreign Exchange Market

1982 • 93 citations

Analysis of Short-Run Exchange Rate Behavior March, 1973 to September, 1975

1976 • 89 citations

Relationships among exchange rates, intervention, and interest rates: An empirical investigation

1984 • 89 citations

Expectations and the Forward Exchange Rate

1981 • 88 citations

A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 83 citations

Exchange rates and ‘news’: A multi-currency approach

1982 • 79 citations

The Dazzling Dollar

1985 • 78 citations

The Portfolio-Balance Model of Exchange Rates and Some Structural Estimates of the Risk Premium (Modele d'equilibre de portefeuilles applique aux taux de change et certaines estimations (structurelles) de la prime de risque) (El modelo de equilibrio de cartera para los tipos de cambio y algunas estimaciones estructurales de la prima de riesgo)

1983 • 78 citations

The international transmission of inflation

1984 • 65 citations

The implications of mean-variance optimization for four questions in international macroeconomics

1986 • 65 citations

Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium

1981 • 64 citations

Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis

1984 • 64 citations

Is the Strong Dollar Sustainable

1985 • 59 citations

Some alternative tests of forward exchange rates as predictors of future spot rates

1984 • 47 citations

INTERPRETING ECONOMETRIC EVIDENCE ON EFFICIENCY IN THE FOREIGN EXCHANGE MARKET

1984 • 37 citations

Equilibrium and Disequilibrium Exchange Rates

1982 • 34 citations

Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations

1986 • 32 citations

Estimation of portfolio-balance functions that are mean-variance optimizing

1983 • 31 citations

Purchasing Power Parity as a Trading Strategy

1984 • 30 citations

International asset substitutability : theory and evidence for Canada

1985 • 29 citations

The forward exchange rate and macroeconomics

1982 • 25 citations

Diverse Information and Market Efficiency in a Monetary Model of the Exchange Rate

1981 • 22 citations

Small empirical models of exchange market intervention: a review of the literature

1983 • 20 citations

Speculative Profit Opportunities in the Canadian Foreign Exchange Market, 1974-78

1983 • 19 citations

Small empirical models of exchange market intervention : a review of the literature

1983 • 16 citations

The asset market model of the balance of payments and the exchange rate: A survey of empirical evidence

1983 • 16 citations

Equilibrium and Disequilibrium Exchange Rates

1982 • 15 citations

Tests of the hypothesis of the existence of risk premium in the foreign exchange market

1984 • 13 citations

Risk Aversion, Efficient Markets, and the Forward Exchange Rate

1987 • 13 citations

Purchasing Power Parity as a Trading Strategy

1984 • 11 citations

Small empirical models of exchange market intervention: applications to Germany, Japan, and Canada

1985 • 11 citations

A note on the theory of offsetting capital flows

1977 • 10 citations

THE FORWARD RATE FOR THE U.S. DOLLAR AND THE EFFICIENT MARKETS HYPOTHESIS, 1978–1983 *

1984 • 9 citations

Forward exchange rates as predictors of future spot rates and the efficiency of the foreign exchange market

1981 • 9 citations

Some joint tests of market efficiency: The case of the forward premium

1985 • 9 citations

Exchange Market Efficiency: A Semi-Strong Test Using Multiple Markets and Daily Data

1984 • 8 citations

The effect of excessively elastic expectations on exchange-rate volatility in the Dornbusch overshooting model

1983 • 5 citations

Exchange market efficiency

1985 • 5 citations

Exchange rates and ‘news’: A comment

1984 • 5 citations

Incomplete information and the equilibrium determination of the forward exchange rate

1982 • 5 citations

Profitability and Stability in International Currency Markets

1981 • 4 citations

Exchange rates and ‘news’: Reply

1984 • 4 citations

The Profitability of Currency Speculation

1983 • 2 citations

The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis

1984 • 2 citations

Some Irregular Regularities in the Canadian/U.S. Exchange Market

1983 • 1 citations

The international transmission of inflation: A review essay

1985 • 1 citations