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Speculative Efficiency and the Exchange Rate: Some Evidence Since the Float
Author(s) -
TEASE WARREN J.
Publication year - 1988
Publication title -
economic record
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 42
eISSN - 1475-4932
pISSN - 0013-0249
DOI - 10.1111/j.1475-4932.1988.tb02035.x
Subject(s) - float (project management) , depreciation (economics) , economics , liberian dollar , monetary economics , market efficiency , foreign exchange market , efficient market hypothesis , us dollar , exchange rate , financial economics , microeconomics , stock market , finance , profit (economics) , paleontology , management , horse , financial capital , capital formation , biology
This paper considers whether the speculative efficiency hypothesis holds in the foreign exchange market since the floating of the Australian dollar in December 1983. For the post‐float period as a whole, the speculative efficiency hypothesis can be rejected in the 30‐day market but not in the 15‐day or 90‐day markets. Evidence of a structural change in the market in February 1985—the time of the first major depreciation ‐ was also found.