Are exchange rates serially correlated?: New evidence from the Euro FX markets
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 cho...
| Main Authors: | , , |
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| Format: | Journal Article |
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Elsevier BV * North-Holland
2012
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| Online Access: | http://hdl.handle.net/20.500.11937/5380 |
| _version_ | 1848744780826148864 |
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| author | Cheung, Adrian Su, J. Choo, A.K. |
| author_facet | Cheung, Adrian Su, J. Choo, A.K. |
| author_sort | Cheung, Adrian |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T06:06:55Z |
| format | Journal Article |
| id | curtin-20.500.11937-5380 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:06:55Z |
| publishDate | 2012 |
| publisher | Elsevier BV * North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-53802017-09-13T16:08:22Z Are exchange rates serially correlated?: New evidence from the Euro FX markets Cheung, Adrian Su, J. Choo, A.K. Euro exchange rate markets Market efficiency Serial uncorrelatedness 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. 2012 Journal Article http://hdl.handle.net/20.500.11937/5380 10.1016/j.rfe.2011.12.001 Elsevier BV * North-Holland restricted |
| spellingShingle | Euro exchange rate markets Market efficiency Serial uncorrelatedness Cheung, Adrian Su, J. Choo, A.K. Are exchange rates serially correlated?: New evidence from the Euro FX markets |
| title | Are exchange rates serially correlated?: New evidence from the Euro FX markets |
| title_full | Are exchange rates serially correlated?: New evidence from the Euro FX markets |
| title_fullStr | Are exchange rates serially correlated?: New evidence from the Euro FX markets |
| title_full_unstemmed | Are exchange rates serially correlated?: New evidence from the Euro FX markets |
| title_short | Are exchange rates serially correlated?: New evidence from the Euro FX markets |
| title_sort | are exchange rates serially correlated?: new evidence from the euro fx markets |
| topic | Euro exchange rate markets Market efficiency Serial uncorrelatedness |
| url | http://hdl.handle.net/20.500.11937/5380 |