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Analisis triangular arbitrage dan pengujian efisiensi foreign exchange market

This thesis examines test of foreign exchange market efficiency by use of triangular arbitrage analysis. This thesis is a quantitative descriptive research that involves 5 foreign currency that consists of USD($),GBP(?),JPY(?),AUD and EURO(?).These 5 foreign currency recorded every 5 minutes on recording period 7 November 2008 ? 19 November 2008. Test of foreign exchange market efficiency in this research divided into 4 sub-hypothesis,these 4 sub-hypothesis are test of presence of probability, magnitude of deviation, persistence of deviation, predictability of deviation (randomness). The Results from this research are from 10 markets that have been analyzed there are 6 markets in efficient condition (Markets : $??,$??,$??,$?AUD,$?AUD, ??AUD), and 4 markets in less efficient condition (Markets : $?AUD, ???, ??AUD, ??AUD)Ada tabel

Ketersediaan

Call NumberLocationAvailable
6317PSB lt.2 - Karya Akhir1
Penerbit Depok Departemen Manajemen, Fakultas Ekonomi Universitas Indonesia.,
Edisi -
Subjek Foreign exchange
Currencies
International finance
Market
Triangular arbitrage
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xiv, 131 p. : diagr. ; 30 cm.
Info Detail Spesifik -
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