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THE EFFICIENCY OF THE INTERNATIONAL MONEY MARKETS
Author(s) -
McInish Thomas H.,
Puglisi Donald J.
Publication year - 1982
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1982.tb00983.x
Subject(s) - eurodollar , monetary economics , german , economics , market efficiency , money market , financial market , financial economics , monetary policy , finance , interest rate , archaeology , history
In markets which are efficient in the weak form, investors are not able to use the information contained in historical yields to earn excess returns. Using a rum test, this paper examines the weak form efficiency of a number of international money markets. While most of the markets examined were found to be efficient in the weak form, the study was not able to confirm the weak form efficiency of the markets for three‐month German DM bank deposits, Swiss Ffr. bank deposits, French Ffr. bank deposits, and six‐month Eurodollar CDs.