Foreign Exchange Market Efficiency: Evidence from the Gulf War Period
95-3-v2.1
Posted: 13 Jul 1998
Date Written: September, 1995
Abstract
This study examines the behavior of the forward market for foreign exchange for the British pound and the Japanese yen during the turbulent Gulf War period of 1990. The bivariate Engle-Granger technique in conjunction with a time-related dummy variable is used. The study supports market efficiency for both exchange rates, only after five weeks around the invasion week are excluded. Finally, an endogeneously determined structural break is found around the invasion week of the War.
JEL Classification: F31
Suggested Citation: Suggested Citation
Biswas, Rita and Shawky, Hany A., Foreign Exchange Market Efficiency: Evidence from the Gulf War Period (September, 1995). 95-3-v2.1, Available at SSRN: https://ssrn.com/abstract=6977
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