Is MYR/USD a random walk? New evidence from the BDS test
This study empirically investigates the daily MYR/USD exchange rate return series in the light of the random walk hypothesis. Recent breakthroughs pertaining to non-linear dynamics and chaos, coupled with the rapid acceleration in computer power, have made it possible to more robustly test for the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2003
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| Online Access: | http://psasir.upm.edu.my/id/eprint/3409/ http://psasir.upm.edu.my/id/eprint/3409/1/Is_MYRjUSD_a_Random_Walk_New_Evidence_from_the_BDS_Test.pdf |
| _version_ | 1848839522439135232 |
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| author | Lim, Kian Ping Mohamed, Azali Lee, Hock Ann |
| author_facet | Lim, Kian Ping Mohamed, Azali Lee, Hock Ann |
| author_sort | Lim, Kian Ping |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study empirically investigates the daily MYR/USD exchange rate return series in the light of the random walk hypothesis. Recent breakthroughs pertaining to non-linear dynamics and chaos, coupled with the rapid acceleration in computer power, have made it possible to more robustly
test for the random walk in financial and economic data. This study uses a new non-linear statistical test, namely the Brock-Dechert-Scheinkman (BDS) test to examine whether the MYR/USD exchange rate return series are random walk with the property of being independent and identically distributed. The results overwhelmingly reject the hypothesis that the MYR/USD data examined in this study are random, independent and identically distributed since some cycles or patterns show up more frequently than would be expected in a true random series. These results may have implications for the weak form market efficiency, if the underlying structure can be profitably exploitable, which remains an avenue for further research. |
| first_indexed | 2025-11-15T07:12:47Z |
| format | Article |
| id | upm-3409 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T07:12:47Z |
| publishDate | 2003 |
| publisher | Universiti Putra Malaysia Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-34092015-09-11T06:16:38Z http://psasir.upm.edu.my/id/eprint/3409/ Is MYR/USD a random walk? New evidence from the BDS test Lim, Kian Ping Mohamed, Azali Lee, Hock Ann This study empirically investigates the daily MYR/USD exchange rate return series in the light of the random walk hypothesis. Recent breakthroughs pertaining to non-linear dynamics and chaos, coupled with the rapid acceleration in computer power, have made it possible to more robustly test for the random walk in financial and economic data. This study uses a new non-linear statistical test, namely the Brock-Dechert-Scheinkman (BDS) test to examine whether the MYR/USD exchange rate return series are random walk with the property of being independent and identically distributed. The results overwhelmingly reject the hypothesis that the MYR/USD data examined in this study are random, independent and identically distributed since some cycles or patterns show up more frequently than would be expected in a true random series. These results may have implications for the weak form market efficiency, if the underlying structure can be profitably exploitable, which remains an avenue for further research. Universiti Putra Malaysia Press 2003-03 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/3409/1/Is_MYRjUSD_a_Random_Walk_New_Evidence_from_the_BDS_Test.pdf Lim, Kian Ping and Mohamed, Azali and Lee, Hock Ann (2003) Is MYR/USD a random walk? New evidence from the BDS test. Pertanika Journal of Social Sciences & Humanities, 11 (1). pp. 41-49. ISSN 0128-7702; ESSN: 2231-8534 http://www.pertanika.upm.edu.my/view_archives.php?journal=JSSH-11-1-3 |
| spellingShingle | Lim, Kian Ping Mohamed, Azali Lee, Hock Ann Is MYR/USD a random walk? New evidence from the BDS test |
| title | Is MYR/USD a random walk? New evidence from the BDS test |
| title_full | Is MYR/USD a random walk? New evidence from the BDS test |
| title_fullStr | Is MYR/USD a random walk? New evidence from the BDS test |
| title_full_unstemmed | Is MYR/USD a random walk? New evidence from the BDS test |
| title_short | Is MYR/USD a random walk? New evidence from the BDS test |
| title_sort | is myr/usd a random walk? new evidence from the bds test |
| url | http://psasir.upm.edu.my/id/eprint/3409/ http://psasir.upm.edu.my/id/eprint/3409/ http://psasir.upm.edu.my/id/eprint/3409/1/Is_MYRjUSD_a_Random_Walk_New_Evidence_from_the_BDS_Test.pdf |