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1860799831162748928
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INTELEK Repository
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Online Access
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https://intelek.unisza.edu.my/intelek/pages/search.php?search=!collection407072
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2011-06-01 14:56:46
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Restricted Document
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7568
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UniSZA
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| internalnotes |
Aron, J. (1997). Foreign exchange market efficiency test in South Africa. Journal of African Economics, 6(3), 152-192. Barkoulas, J., Baum, C.F., & Chakraborty, A. (2003). Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums. Journal of Macroeconomics, 25, 109-122. Crowder, W. (1994). Foreign exchange market efficiency and common stochastic trends. Journal of International Money and Finance, 13, 551-564. Cuthbertson, K., & Nitzsche, D. (2005). Quantitative Financial Economics. Stocks, Bonds & Foreign Exchange. (3rd ed.). England: John Wiley & Sons, Ltd., (Chapter 2 & 8). Dickey, D.A., & Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431. Gregory, A.W., & Hansen, B.E. (1996). Residual-based test for cointegration in models with regime shifts. Journal of Econometrics, 70, 99-126. Gujarati, D.N. (2003). Basic Econometrics. (4th ed.). Singapore: McGraw-Hill, (Chapter 5) [Online] Available: http://www.oecd.org/home/0,2987,en_2649_201185_1_1_1_1_1,00.html 01/04/2007 Im, K.S., Pesaran, M.H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53-74. Kang, H. (2008). The cointegration relationships among G-7 foreign exchange rates. International Review of Financial Analysis, 17(3), 446-460. Kasman, A., & Ayhan, D. (2007). Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration. Economic Modeling, 25, 83-92. Kellard, N. (2006). On the robustness of cointegration tests when assessing market efficiency. Finance Research Letters, 3, 57-64. Kim, J.K., & Ratti, R.A. (2006). Economic activity, foreign exchange rate, and the interest rate during Asian crisis. Journal of Policy Modeling, 28, 387-402. Kwiatkowski, D., Phillips, P., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationary against the alternative of a unit root. Journal of Econometrics, 54 (1-3) 159-178. Maddala, G.S. W & Kim, I.M. (1998). Unit Roots, Cointegration and Structural Change. (1st ed.). New York: Cambridge University Press, (Chapter 2). Newey, W.K., & West, K.D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55 (3), 703-708 Oh et al. (2007). Market efficiency in foreign exchange markets. Physica A, 382, 209-212. Phillips, P.C.B., & Perron, P. (1988). Testing for unit root in time series regression. Biometrika, 75, 335-346. Wickremasinghe, G.B. (2004). Efficiency of foreign exchange markets: A developing count perspective. ABERU Discussion Paper 3. Wu, J.L., & Chen, S.L. (1998). Foreign exchange market efficiency revisited. Journal of International Money and Finance, 17, 831-838. Zivot, E., & Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10 (3), 251-270.
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3110-01-FH02-FESP-18-13175.pdf
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limin
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oai_dc
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https://intelek.unisza.edu.my/intelek/pages/view.php?ref=7568
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7568 https://intelek.unisza.edu.my/intelek/pages/view.php?ref=7568 https://intelek.unisza.edu.my/intelek/pages/search.php?search=!collection407072 Restricted Document Article Journal application/pdf 11 1.6 Adobe Acrobat Pro DC 20 Paper Capture Plug-in limin 2011-06-01 14:56:46 3110-01-FH02-FESP-18-13175.pdf UniSZA Private Access Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test International Journal of Business and Management This paper will look at the weak-form efficiency of the foreign exchange market in thirty (30) Organization for Economic Cooperation and Development (OECD) countries. We employ Augmented Dickey-Fuller (ADF), Philip-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin analysis to examine for the unit root. Using weekly data for the period 2000 to 2007, the results for weak-form efficiency using ADF and PP tests indicate that the exchange rates studied follow random walks. The current value of the exchange rate cannot be predicted using its past values. In addition, the OECD foreign exchange market consistent with the weak-form of the Efficient Market Hypothesis. 6 6 55-65 Aron, J. (1997). Foreign exchange market efficiency test in South Africa. Journal of African Economics, 6(3), 152-192. Barkoulas, J., Baum, C.F., & Chakraborty, A. (2003). Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums. Journal of Macroeconomics, 25, 109-122. Crowder, W. (1994). Foreign exchange market efficiency and common stochastic trends. Journal of International Money and Finance, 13, 551-564. Cuthbertson, K., & Nitzsche, D. (2005). Quantitative Financial Economics. Stocks, Bonds & Foreign Exchange. (3rd ed.). England: John Wiley & Sons, Ltd., (Chapter 2 & 8). Dickey, D.A., & Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431. Gregory, A.W., & Hansen, B.E. (1996). Residual-based test for cointegration in models with regime shifts. Journal of Econometrics, 70, 99-126. Gujarati, D.N. (2003). Basic Econometrics. (4th ed.). Singapore: McGraw-Hill, (Chapter 5) [Online] Available: http://www.oecd.org/home/0,2987,en_2649_201185_1_1_1_1_1,00.html 01/04/2007 Im, K.S., Pesaran, M.H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53-74. Kang, H. (2008). The cointegration relationships among G-7 foreign exchange rates. International Review of Financial Analysis, 17(3), 446-460. Kasman, A., & Ayhan, D. (2007). Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration. Economic Modeling, 25, 83-92. Kellard, N. (2006). On the robustness of cointegration tests when assessing market efficiency. Finance Research Letters, 3, 57-64. Kim, J.K., & Ratti, R.A. (2006). Economic activity, foreign exchange rate, and the interest rate during Asian crisis. Journal of Policy Modeling, 28, 387-402. Kwiatkowski, D., Phillips, P., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationary against the alternative of a unit root. Journal of Econometrics, 54 (1-3) 159-178. Maddala, G.S. W & Kim, I.M. (1998). Unit Roots, Cointegration and Structural Change. (1st ed.). New York: Cambridge University Press, (Chapter 2). Newey, W.K., & West, K.D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55 (3), 703-708 Oh et al. (2007). Market efficiency in foreign exchange markets. Physica A, 382, 209-212. Phillips, P.C.B., & Perron, P. (1988). Testing for unit root in time series regression. Biometrika, 75, 335-346. Wickremasinghe, G.B. (2004). Efficiency of foreign exchange markets: A developing count perspective. ABERU Discussion Paper 3. Wu, J.L., & Chen, S.L. (1998). Foreign exchange market efficiency revisited. Journal of International Money and Finance, 17, 831-838. Zivot, E., & Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10 (3), 251-270.
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| spellingShingle |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test
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| summary |
This paper will look at the weak-form efficiency of the foreign exchange market in thirty (30) Organization for Economic Cooperation and Development (OECD) countries. We employ Augmented Dickey-Fuller (ADF), Philip-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin analysis to examine for the unit root. Using weekly data for the period 2000 to 2007, the results for weak-form efficiency using ADF and PP tests indicate that the exchange rates studied follow random walks. The current value of the exchange rate cannot be predicted using its past values. In addition, the OECD foreign exchange market consistent with the weak-form of the Efficient Market Hypothesis.
|
| title |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test
|
| title_full |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test
|
| title_fullStr |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test
|
| title_full_unstemmed |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test
|
| title_short |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test
|
| title_sort |
weak-form efficiency of foreign exchange market in the organisation for economic cooperation and development countries: unit root test
|