publication . Preprint . 2004

The Efficient Market Hypothesis: Is It Applicable to the Foreign Exchange Market?

Nguyen, James;
Open Access
  • Published: 01 Jan 2004
The study analyses the applicability of the efficient market hypothesis to the foreign exchange market by testing the profitability of the filter rule on the spot market. The significance of the returns was validated by comparing them to the returns from randomly generated shuffled series via bootstrap methods. The results were surprising. For the total period (1984-2003) small filter rules could deliver significant returns indicating an inefficient foreign exchange market. However, once the data was separated into four sub-periods of five years to test the stability of the returns, the results indicate that only the first sub period delivered significant return...
free text keywords: Efficient market hypothesis, foreign exchange market, filter rules

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