Market efficiency of floating exchange rate systems: Some evidence from Pacific-Asian countries

被引：6

作者：

Al-Khazali, Osamah M. ^{[1
]}

Leduc, Guillaume ^{[2
]}

Pyun, Chong Soo ^{[3
]}

机构：

[1] Amer Univ Sharjah, Dept Accounting & Finance, Sharjah, U Arab Emirates

[2] Amer Univ Sharjah, Dept Math & Stat, Sharjah, U Arab Emirates

[3] Univ Memphis, Dept Finance, Memphis, TN 38152 USA

来源：

GLOBAL FINANCE JOURNAL | 2011年 / 22卷 / 02期

关键词：

Efficiency of foreign exchange markets; Random walk; Martingale difference hypothesis; Emerging currency markets;

D O I：

10.1016/j.gfj.2011.10.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright's (2000) non-parametric procedure to test the RWH and Kuan and Lee's (2004) procedure to test the MDH. The results of Wright's tests and Kuan and Lee's test are adjusted for size distortion. The RWH is rejected for all currencies before and after the Asian crisis. The results of Kuan and Lee's test are consistent with the fact that the RWH is more stringent than the MDH. For the three testing periods, the MDH fails to reject the AUD. For all other currencies the MDH is rejected at least for one benchmark over two periods, indicating that the market efficiency in these markets have not significantly improved under the floating rate systems following the Asian financial crisis. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：154 / 168

页数：15

共 38 条

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