Abstract
This paper carries out multi-currency, multi-horizon and combined tests of simple market efficiency using alternative covariance matrix estimators whose finite sample performances have been examined elsewhere in the literature. The data utilized are properly aligned weekly exchange rates from June 1973 to December 1994 on bid spot, 1-month, 3-month and 6-month ask forward rates for several currencies. The results demonstrate that tests of market efficiency are sensitive to the information set specified, the prediction horizon considered and the covariance matrix estimator employed. In most but not all cases, rejections of market efficiency are overturned using a prewhitened heteroskedasticity and autocorrelation consistent covariance matrix estimator with optimal asymptotic properties and better finite sample performance.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
