Earticle

초록

영어

This paper examines the random walk (RW) and the martingale difference sequence (MDS) processes for the Australian dollar and seven Asian currencies relative to three benchmark currencies between 1993 and 2008. We use Wright’s (2000) non-parametric variance ratio test for the RW and Kuan and Lee’s (2004) test for the MDS. The results show that (i) the hypotheses of RW and MDS are rejected for all eight currencies for the entire study period as well as for the sub-period leading up to the Asian financial crisis in 1997; (ii) for the sub-period following the Asian crisis, only the Australian dollar and Korean won behave as weak-form efficient while the six other Asian emerging currencies show no discernible improvement toward market efficiency; (iii) on balance, the rejection of random walk is more robust by Kuan and Lee’s martingale test as compared to that by Wright’s sign and rank variance ratio test.

목차

Abstract
 1. Introduction
 2. Related Literature
 3. Data and Summary Statistics
 4. Methodology
  4.1. The Wright Non-Parametric VR Test
  4.2. Kuan and Lee’s Test
 5. Empirical Results
  5.1. Results for the RWH
  5.2. Results for the MDH
 6. Concluding Remarks
 References
 Table

키워드

저자

• Osamah M. Al-Khazali [ Accounting and Finance Department School of Business and Management American University of Sharjah Sharjah, U.A.E. ]
• Chong Soo Pyun [ Department of Finance University of Memphis Memphis, TN 38152 ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330