Abstract
The article aims at overcoming the internal contradictions of market efficiency as defined by Fama (1965) by providing three definitions of market efficiency: fundamental efficiency, macroeconomic efficiency and speculative efficiency. Applied to the foreign exchange market, these definitions lead to multiple forms of efficiency. At each form are associated a set of empirical tests performed at short, medium and long term horizons. Results show that three types of efficiency prevail in the foreign exchange market according to the time horizon considered. The foreign exchange market can thus be characterised by pure inefficiency in the short run (between 1 month and 1 year), speculative efficiency in the medium term (between 1 and 2 years) and macroeconomic efficiency in the long run (from 5 years on). The latest form of efficiency is however accepted with some restrictions. Fundamental efficiency - Fama's definition of efficiency - is rejected at every horizon.
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