Economics, Econometrics and Finance
4 years ago

Tunisian Exchange Market Shows Signs of Efficiency Improvement with New Approach

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International Journal of Business
Foreign Exchange Market Efficiency: Fractional Cointegration Approach
Lotfi Belkacem, Zahra El Meddeb, Heni Boubaker

Paper Summary

The article investigates the efficiency of the Tunisian foreign exchange market by using fractional cointegration tests and an error correction bivariate ARFIMA model. The researchers found evidence of fractional cointegration between the one-month forward rate and the spot rate for certain currency pairs.

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