STRONG FORM EFFICIENCY OF THE FOREIGN EXCHANGE MARKET AND BANK POSITIONS Academic Article

abstract

• AbstractThis paper explores the strong form efficiency of the pound sterlingU.S. dollar market by analyzing the ability of U.S. commercial banks to formulate superior expectations visavis the market in two ways. First, Stein's theory is employed to distinguish between shifts and disturbances in the exchange market equilibrium. Second, the swap transaction framework extracts U.S. commercial banks' expectations from their observed behavior. Results obtained from both approaches suggest that the observed group has better than random forecasting accuracy.

authors

• Mahajan, Arvind

published proceedings

• The Journal of Financial Research

author list (cited authors)

• Mahajan, A., & Mehta, D.

citation count

• 4

complete list of authors

• Mahajan, Arvind||Mehta, Dileep

publication date

• September 1984

publisher

• Wiley  Publisher

published in

• Journal of Financial Research  Journal

keywords

• 35 Commerce, Management, Tourism And Services
• 3502 Banking, Finance And Investment

Digital Object Identifier (DOI)

• 10.1111/j.1475-6803.1984.tb00370.x

start page

• 197

end page

• 207

volume

• 7

issue

• 3

URL

• http://dx.doi.org/10.1111/j.1475-6803.1984.tb00370.x