A TEST OF THE EFFICIENCY OF THE FOREIGN EXCHANGE MARKET IN INDONESIA

A TEST OF THE EFFICIENCY OF THE FOREIGN EXCHANGE MARKET IN INDONESIA

We test whether the Indonesian foreign exchange market is efficient. Since empirical evidence has been inconclusive, we employ a new generalized autoregressive conditional heteroskedasticity–based unit root test to examine the Efficient Market Hypothesis (EMH). The advantages of this model are that...

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Bibliographic Details
Main Author: Bernard Njindan Iyke
Format: Article
Language:Indonesian
Published: Bank Indonesia 2019-02-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Subjects:
Foreign exchange market efficiency
Exchange rate
Unit root
Structural break
Half-life
Indonesia
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/976

Internet

https://www.bmeb-bi.org/index.php/BEMP/article/view/976

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