کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
987072 1480903 2012 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Are exchange rates serially correlated? New evidence from the Euro FX markets
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Are exchange rates serially correlated? New evidence from the Euro FX markets
چکیده انگلیسی

This paper examines the serial uncorrelatedness hypothesis in the Euro FX markets by testing for autocorrelation in daily FX returns of 82 countries over the period of 1999–2010. We use three newly developed tests that are robust to conditional heteroskedasticity of unknown forms and that do not choose a lag parameter arbitrarily. They are Escanciano & Lobato (2009)'s automatic Box–Pierce Qp test, Nankervis & Savin (2010)'s generalized Andrews–Ploberger test and Deo (2000)'s robust Durlauf test. We find no significant autocorrelation in the FX returns of around 58 to 62 countries, suggesting that majority of the Euro FX markets are weak-form efficient.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 21, Issue 1, January 2012, Pages 14–20
نویسندگان
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