Testing for inefficiency in emerging markets exchange rates

This paper contributes to the literature on testing the random walk hypothesis by examining multiple variance ratio tests for emerging market exchange rates on a daily and weekly frequency. We have performed these tests using a bootstrap technique, which is robust to heteroscedasticity. We examine c...

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Bibliographic Details
Published in:Chaos, solitons and fractals solitons and fractals, 2007-07, Vol.33 (2), p.617-622
Main Authors: Lima, Eduardo Jose Araújo, Tabak, Benjamin Miranda
Format: Article
Language:English
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Summary:This paper contributes to the literature on testing the random walk hypothesis by examining multiple variance ratio tests for emerging market exchange rates on a daily and weekly frequency. We have performed these tests using a bootstrap technique, which is robust to heteroscedasticity. We examine countries that have recently adopted floating exchange rate regimes, such as some Asian and Latin American countries, and analyze their recent behavior. Empirical evidence supports the random walk hypothesis on both a daily and weekly frequency. Furthermore, we test for long-range dependence and present evidence of structural breaks in generalized Hurst exponents.
ISSN:0960-0779
1873-2887
DOI:10.1016/j.chaos.2006.01.043