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C/F/977. Dissertation. Does the Efficient Market Hypothesis hold for the Foreign Exchange Market?

WORDS:
10500
ADD-ONS:
Financial Data
DATE:
2010
PRICE:
109.99 GBP

This dissertation aims to investigate whether the weak form of the efficient market hypothesis is applicable to the modern foreign exchange market. The literature review focuses evaluating foreign exchange rate theories like purchasing power parity, interest rate parity, and the fisher effect. The review of literature also analyses the efficient market hypothesis, and presents the theory behind it and discusses empirical testing. The methodology section highlights the design, philosophy and approach to study. Data has been collected through use of the Thomson One Banker database. The findings section discusses the results from unit root testing and GARCH modelling, and the dissertation concludes by discussing the results of the study. This paper includes the statistical data used for the study.

 

KEYWORDS: Dissertation, efficient market hypothesis, foreign exchange market, purchasing power parity, interest rate parity, the fisher effect, empirical testing, Thomson One Banker database,

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