The Dissertation thesis consists of the current knowledge about the exchange rate theory of information efficiency of FOREX market from the scientific point of view. There have been described both the traditional and modern statistical approaches to exchange rate. The main hypothesis is the Fama's Efficient Market Hypothesis. We have shown the results of many empirical testing and moreover highlight the main reasons, which have been pronounced to the theoretical rehabilitation of the hypothesis ... show full abstractThe Dissertation thesis consists of the current knowledge about the exchange rate theory of information efficiency of FOREX market from the scientific point of view. There have been described both the traditional and modern statistical approaches to exchange rate. The main hypothesis is the Fama's Efficient Market Hypothesis. We have shown the results of many empirical testing and moreover highlight the main reasons, which have been pronounced to the theoretical rehabilitation of the hypothesis itself. Information efficiency of foreign exchange market has been statistically tested in the sample of CZK/EUR time series of exchange rates and forward rates. We have used the basic regression analysis, the time series cointegration methods, Pedroni's panel cointegration and non-linear adjustment of exchange rate to its equilibrium. Thank to the nonlinear cointegration methods we were able to rehabilitate information efficiency of FOREX market in approximated version. These empirical results have been deeply discussed in comparison with main goals of the dissertation and with theoretical conclusions of the Fama's theoretical approach. |