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- W2030441490 abstract "Profitable deviations from covered interest parity (CIP) represent riskless arbitrage opportunities and so indicate market ineffic iency. Previous empirical work on CIP uses noncontemporaneously sampl ed data and reports mixed results. This paper uses high-frequency (te n-minute), high-quality data, gathered personally by the author in th e London foreign-exchange market, to test the CIP condition. The resu lts overwhelmingly support the market-efficiency hypothesis. Copyright 1987 by The Review of Economic Studies Limited." @default.
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- W2030441490 date "1987-11-01" @default.
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- W2030441490 title "Covered Interest Parity: A High-Frequency, High-Quality Data Study" @default.
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- W2030441490 doi "https://doi.org/10.2307/2554178" @default.
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