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Transactions in the …nancial markets must be efficient. Hypotheses about market efficiency in …nancial markets was first coined by Fama (1965). This hypothesis states that there is should be a fair market so there is no party that pro…ts or losses of information that drive...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/15001 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Transactions in the …nancial markets must be efficient. Hypotheses about market efficiency in …nancial markets was first coined by Fama (1965). This hypothesis states that there is should be a fair market so there is no party that pro…ts or losses of information that drives the differences in intrinsic value of …nancial assets. Inefficiency in the foreign exchange market will cause the parties to be gainers and losers An efficient market is where the prices always fully re‡ect all available <br />
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information. Efficiency test in foreign exchange market can be examined with stationarity and cointegration test. Testing stationarity by using Augmented Dickey-Fuller test, while the cointegration tests performed using the johansens’ cointegration method. Testing then continued by looking at the relationship between the variables studied using the impulse response function and variance decomposition. These tests provide evidence of whether there is efficiency in the foreign exchange market in Indonesia. Information gleaned from the results of this test can be used by economic regulators in policy making and the participants in the foreign exchange market-making related to investment strategies that must be executed. |
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