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Shyh-wei Chen
 
''Random walks in asian foreign exchange markets:evidence from new multiple variance ratio tests''
( 2009, Vol. 29 No.2 )
 
 
This paper revisits the random walk hypothesis for ten Pacific Basin foreign exchange markets. The results suggest that the null hypothesis of random walk is rejected based on the Lo-MacKinlay variance ratio tests, under conditions of both homoskedasticity and heteroskedasticity for the examined series. The use of a battery of new joint variance ratio tests provide further evidence against the random walk behavior than the conventional variance ratio tests. Therefore, we conclude that these Pacific Basin exchange markets violate the random walk hypothesis and are not in line with the weak-form efficient market hypothesis.
 
 
Keywords: Foreign exchange rate, variance ratio, random walk, efficient market
JEL: F3 - International Finance: General
C3 - Time-Series Models
 
Manuscript Received : Feb 24 2009 Manuscript Accepted : Jun 05 2009

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