The Singapore dollar: tests of the efficient markets hypothesis and the role of 'news'

MacDonald, R. and Ta, G. (1987) The Singapore dollar: tests of the efficient markets hypothesis and the role of 'news'. Applied Economics, 19(5), pp. 569-579. (doi:10.1080/00036848700000024)

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Abstract

In this paper the efficient markets hypothesis (EMH) is tested for the Singapore dollar over the period from January 1978 to March 1983. The tests are conducted using the relationship between the spot foreign exchange rate and the corresponding lagged forward foreign exchange rate. The tests consist of an unbiasedness test, an error orthogonality test and a test of the impact of ‘news’ in the Singapore foreign exchange market. The results indicate a certain degree of independence in the implementation of monetary policy for the Singapore monetary authority.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R., and Ta, G.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Applied Economics
Publisher:Taylor and Francis
ISSN:0003-6846
ISSN (Online):1466-4283

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