Market efficiency in foreign exchange market

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dc.contributor.authorLee, Namhoon
dc.contributor.authorChoi, Wonseok
dc.contributor.authorYuntaek, Pae
dc.date.accessioned2023-03-23T17:47:37Z
dc.date.available2023-03-23T17:47:37Z
dc.date.issued2021
dc.descriptionArticle originally published in Economics Letters, 205, 109931. English. Published online 2021. https://doi.org/10.1016/j.econlet.2021.109931
dc.descriptionPost-print under embargo until August 2023
dc.description.abstractThe study examines foreign exchange market overreaction for various combinations of formation and testing periods over 30 years. First, we find that reversal is significant for longer test periods and longer formation periods. Second, we find no evidence of persistent momentum or reversal during the entire sample period. Thus, the results of overreaction studies should be sensitive to the sample period. Third, we observe losers outperform most of the formation and test periods combinations except for the short-term when spot rates are used to construct portfolios. We observe the evidence of overreaction becomes stronger with the longer formation and test period.en_US
dc.identifier.citationThis is a post-print version of an article that is available at https://doi.org/10.1016/j.econlet.2021.109931. Recommended citation: Lee, N., Choi, W., & Pae, Y. (2021). Market efficiency in foreign exchange market. Economics Letters, 205, 109931. This item has been deposited in accordance with publisher copyright and licensing terms and with the author’s permission.en_US
dc.identifier.urihttps://hdl.handle.net/11274/14717
dc.identifier.urihttps://doi.org/10.1016/j.econlet.2021.109931
dc.language.isoen_USen_US
dc.publisherElsevieren_US
dc.subjectOverreactionen_US
dc.subjectReversalen_US
dc.subjectMomentumen_US
dc.subjectForeign exchange rateen_US
dc.subjectEfficient market hypothesisen_US
dc.titleMarket efficiency in foreign exchange marketen_US
dc.typePost-Printen_US

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