International Journal of Business and Social Science

ISSN 2219-1933 (Print), 2219-6021 (Online) DOI: 10.30845/ijbss


A Trace and Maximal Eigen Value Analysis of Spot-forward Forex Rates in OECD Countries
Juliana Ibrahim, Safrul Izani Mohd Salleh, Norazlina Abdullah

In the new era towards a globalised economy, countries worldwide are confronting each other in
implementing an international economic policy to support each other's overall balance in their government policies through the exchange rate as one of its policies. The issues of forward premium puzzle in the foreign exchange market remains unsolved despite tremendous efforts have been made by researchers using various econometric methods for the last two and a half decades. The objective of the present study is to investigate the weak and semi-strong efficiency of the foreign exchange market in the OECD countries. The data from period 2000 to 2007 were analysed using cointegration test (Johansen, 1998) and found that the forex market in the OECD countries is inefficient.

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