Efficiency Tests in Foreign Exchange Market

Authors

  • Yi Hsien Lee
  • Khatanbaatar Sodoikhuu

Abstract

The main purpose of the paper is applying filter rules to examine the efficiency of foreign exchange. This paper uses three strategies of filter rules (buy long, sell short, buy long and sell short strategies) to test the performance of the transaction for EUR, JPY, GBP. The findings show that people will obtain more return by taking buy long/ sell short strategies of filter rules without considering transaction cost. However, the transaction of these three foreign exchange rate (EUR, JPY, GBP) will be more efficient by considering transaction cost. The results imply the foreign exchange market is efficient for the EUR, JPY and GBP.

Keywords: Filter rule; Foreign exchange; Market efficiency

JEL Classification : F30; F31; G14

Downloads

Download data is not yet available.

Author Biography

Yi Hsien Lee

Associate ProfessorDepartment of Business Administration,Cheng Shiu University

Downloads

Published

2012-01-17

How to Cite

Lee, Y. H., & Sodoikhuu, K. (2012). Efficiency Tests in Foreign Exchange Market. International Journal of Economics and Financial Issues, 2(2), 216–224. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/150

Issue

Section

Articles