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A fractional cointegration approach to testing mean reversion between spot and forward exchange rates: a case of high frequency data with low frequency dynamics

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dc.contributor.authorMohammed Masih, Abul Mansur
dc.contributor.authorMasih, Rumi
dc.date.accessioned2018-12-09T07:46:34Z
dc.date.available2018-12-09T07:46:34Z
dc.date.issued1998
dc.description.abstractThe issue of whether foreign exchange markets process information efficiently (at least in a speculative, weak sense) has been a topic of renewed attention by empirical analysts in the fields of international finance, international economics and futures markets (see, inter alia, Hakkio and Rush, 1989; Macdonald and Taylor, 1989; Copeland, 1991; Lai and Lai, 1991; Tronzano, 1992; and Karfakis and Moschos, 1994) in a bivariate context, and Coleman, 1990; Alexander and Johnson, 1992; Baillie and Bollerslev, 1989; and Karfakis and Parikh, 1994; in a multivariate context). One of the reasons underlying the regeneration of interest in testing the efficient markets hypothesis (EMH) has, to a large extent, been fuelled by the development of sophisticated and practical time-series techniques which essentially aim to uncover important insights into the mechanics of how and to what extent asset prices fully reflect available information or otherwise whether there are untapped profitable opportunities that still remain.en_US
dc.identifier.citationMohammed Masih, Abul Mansur and Masih, Rumi. (1998). A fractional cointegration approach to testing mean reversion between spot and forward exchange rates: a case of high frequency data with low frequency dynamics. Journal of Business Finance and Accounting, 25 (7-8), pp. 987-1003.en_US
dc.identifier.doidoi:10.1111/1468-5957.00222
dc.identifier.issn1468-5957 (online)
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/3005
dc.languageEnglish
dc.language.isoenen_US
dc.publisherJohn Wiley & Sonsen_US
dc.rights1998. John Wiley & Sons
dc.sourceSEDONA
dc.subjectEfficiencyen_US
dc.subjectSpot/forward exchange ratesen_US
dc.subjectFractional differencingen_US
dc.subjectFractional cointegrationen_US
dc.subjectLow frequency dynamicsen_US
dc.titleA fractional cointegration approach to testing mean reversion between spot and forward exchange rates: a case of high frequency data with low frequency dynamicsen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional finance
dlc.subtopicCapital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional financeen_US
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