Efficiency Tests in Foreign Exchange Market
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 peopl...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2012-06-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31953/351834?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| _version_ | 1797923337690677248 |
|---|---|
| author | Yi Hsien Lee Khatanbaatar Sodoikhuu |
| author_facet | Yi Hsien Lee Khatanbaatar Sodoikhuu |
| author_sort | Yi Hsien Lee |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-10T14:44:54Z |
| format | Article |
| id | doaj.art-a13ba74900b641d9a26cb5a4927d36c2 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T14:44:54Z |
| publishDate | 2012-06-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-a13ba74900b641d9a26cb5a4927d36c22023-02-15T16:07:55ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382012-06-01222162241032Efficiency Tests in Foreign Exchange MarketYi Hsien LeeKhatanbaatar SodoikhuuThe 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.https://dergipark.org.tr/tr/pub/ijefi/issue/31953/351834?publisher=http-www-cag-edu-tr-ilhan-ozturkfilter rule foreign exchange market efficiency |
| spellingShingle | Yi Hsien Lee Khatanbaatar Sodoikhuu Efficiency Tests in Foreign Exchange Market International Journal of Economics and Financial Issues filter rule foreign exchange market efficiency |
| title | Efficiency Tests in Foreign Exchange Market |
| title_full | Efficiency Tests in Foreign Exchange Market |
| title_fullStr | Efficiency Tests in Foreign Exchange Market |
| title_full_unstemmed | Efficiency Tests in Foreign Exchange Market |
| title_short | Efficiency Tests in Foreign Exchange Market |
| title_sort | efficiency tests in foreign exchange market |
| topic | filter rule foreign exchange market efficiency |
| url | https://dergipark.org.tr/tr/pub/ijefi/issue/31953/351834?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| work_keys_str_mv | AT yihsienlee efficiencytestsinforeignexchangemarket AT khatanbaatarsodoikhuu efficiencytestsinforeignexchangemarket |