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Currency Market Efficiency Revisited: Evidence from Korea

Centre for Financial Law, Legal Research Institute of Korea University, Seoul 02841, Korea
Int. J. Financial Stud. 2019, 7(3), 52; https://doi.org/10.3390/ijfs7030052
Received: 15 May 2019 / Revised: 9 September 2019 / Accepted: 11 September 2019 / Published: 16 September 2019
This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants through several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical findings indicate that the currency market and its related derivatives markets seem to be inefficient during the 2006–2016 period, but have improved considerably after the 2008 global financial crisis. Further, as the main culprits of market inefficiency, we stress the presence of risk premia in the international financial market and the role of central bank intervention. View Full-Text
Keywords: foreign exchange market efficiency; forward rate unbiased hypothesis; covered interest rate parity; central banks; central banks’ policies foreign exchange market efficiency; forward rate unbiased hypothesis; covered interest rate parity; central banks; central banks’ policies
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Kang, M.-W. Currency Market Efficiency Revisited: Evidence from Korea. Int. J. Financial Stud. 2019, 7, 52.

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