Foreign Exchange Market Efficiency: Evidence from the Gulf War Period

95-3-v2.1

Posted: 13 Jul 1998

See all articles by Rita Biswas

Rita Biswas

University at Albany - SUNY

Hany A. Shawky

State University of New York at Albany - School of Business and Center for Institutional Investment Management

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

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

Rita Biswas (Contact Author)

University at Albany - SUNY ( email )

1400 Washington Ave.
Albany, NY 12222
United States
518-442-4996 (Phone)
518-442-3045 (Fax)

Hany A. Shawky

State University of New York at Albany - School of Business and Center for Institutional Investment Management ( email )

School of Business
1400 Washington Ave.
Albany, NY 12222
United States
518-442-4921 (Phone)
518-442-3944 (Fax)

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