Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257650 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 3 [Article No.:] 52 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
central banks
central banks&#x2019
policies
covered interest rate parity
foreign exchange market efficiency
forward rate unbiased hypothesis
JEL: 
E58
F31
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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