Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises

Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro

“…Hence, the explicit modelling of structural breaks is important for a cointegration analysis directed to exchange rates. Jeon and Seo (2003) and Phengpis (2006) specifically examine structural instabilities and investigate currency crises for market efficiency. Their results are mixed.…”

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.…”

Cointegration Analysis of the Foreign Exchange Rate Pairs

“…However, there is some empirical evidence of cointegration between two or more exchange rates from Baillie & Bollerslev (1994), Kouretas & Zarangas (1998), Lajaunie & Naka (1997), Phengpis (2006), Kühl (2007). Kühl (2007) has been investigating the market efficiency of the foreign exchange market since the introduction of the Euro using the cointegration methodology.…”