Cointegration and efficiency in the foreign exchange market

Abstract

After introducing the work in hand (chapter one), the second chapter examines the existing literature and the empirical evidence concerning cointegration methodology.The third chapter is an extensive assessment of the efficient markets hypothesis and its implications for exchange rats .The four chapter gives analyses and discussions of the results concerning the use of cointegration for testing different aspects of exchange market efficiency.Chapter five considers the role of the news in exchange rate markets and give theoretical models on how to test for market efficiency using a new format .Chapter six is simply the test results of the aforementioned questions in the previous chapter. Exchange rate policies for developing countries are discussed in chapter Seven.Chapter Eight is a particular case.In fact, it examines the Algerian Exchange rate policy using a cointegration analysis.Concluding remarks , recommendations and considerations for further work are given in chapter 9.