European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods

Financial crisis and stock market efficiency: Empirical evidence from Asian countries

“…The authors argued that an efficient stock market encourages efficiency in the allocation of resources and would better equip an economy to cope with the competitive pressure within the Union.3 In a related paper,Cioppa (2005) argued that the EMH is an indispensable and very useful tool for regulation in countries such as the United States and Britain as the theory provides a clear and relatively simple prescriptions for regulation.4 This applies equally to the foreign exchange market, withJeon and Seo (2003),Aroskar, Sarkar, and Swanson (2004) andPhengpis (2006) representing the small amount of literature available.…”

Testing the Efficient Market Hypothesis in an Emerging Market: Evidence from Forex Market in Mauritius

“…4 See Chaudhery [7], Wickremasinghe [8], Mabakeng [25] among others but inconsistent with Cicek [26] and Cooray and Wickremasinghe [17]. 5 See Kisto et al [12], Mabakeng [25], Chaudhery [7], Ibrahim et al [19], Wickremasinghe [8] among others but inconsistent with Aron [15], Aroskar [16], Kuntara and Lee [18] and Krishnaveni et al [22]. Theoretical Economics Letters However, when the Johansen Cointegration test is performed, the semistrong form efficiency was supported but when the Granger Causality test and Variance Decomposition were used, the results showed that there were long run relationships among the various foreign exchange rates which is not in accordance with the semi-strong form.…”

“…Aroskar et al [16] found strong evidence of market inefficiency in the EMS currencies before the introduction of the Euro, in which parities were strongly fixed.…”

The time difference effect of a measurement unit in the lead–lag relationship analysis of Korean financial market

“….I(1) process. Using the similar research methodology to Aroska, Sarkar, and Swanson (2004), our research uses augmented Dickey-Fuller unit root test, cointegration test, and vector error correction model. In this research, to determine whether the time series are stationary, augmented Dickey-Fuller unit root test is performed.…”