Title of article :
Testing for inefficiency in emerging markets exchange rates
Author/Authors :
Eduardo Jose Ara?jo Lima، نويسنده , , Benjamin Miranda Tabak، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2007
Pages :
6
From page :
617
To page :
622
Abstract :
This paper contributes to the literature on testing the random walk hypothesis by examining multiple variance ratio tests for emerging market exchange rates on a daily and weekly frequency. We have performed these tests using a bootstrap technique, which is robust to heteroscedasticity. We examine countries that have recently adopted floating exchange rate regimes, such as some Asian and Latin American countries, and analyze their recent behavior. Empirical evidence supports the random walk hypothesis on both a daily and weekly frequency. Furthermore, we test for long-range dependence and present evidence of structural breaks in generalized Hurst exponents.
Journal title :
Chaos, Solitons and Fractals
Serial Year :
2007
Journal title :
Chaos, Solitons and Fractals
Record number :
902647
Link To Document :
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