Some evidence of random walk behavior of Euro exchange rates using ranks and signs

This study utilises recently developed tests based on ranks and signs, in addition to the traditional variance ratio test, to examine the behavior of Euro exchange rates. We show that adjustments for multiple tests must be employed in order to avoid size distortions. Overall, such adjustments provid...

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Bibliographic Details
Published in:Journal of banking & finance 2005-07, Vol.29 (7), p.1631-1643
Main Authors: Belaire-Franch, Jorge, Opong, Kwaku K.
Format: Article
Language:English
Subjects:
Adjustment for multiplicity
Data analysis
Empirical research
Euro
Euro exchange rates
Exchange rates
Financial economics
Foreign exchange rates
International capital market
Random walk theory
Ranks
Signs
Studies
Variance
Variance analysis
Variance ratio
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Summary:This study utilises recently developed tests based on ranks and signs, in addition to the traditional variance ratio test, to examine the behavior of Euro exchange rates. We show that adjustments for multiple tests must be employed in order to avoid size distortions. Overall, such adjustments provide evidence consistent with random walk behavior of Euro exchange rates.
ISSN:0378-4266
1872-6372
DOI:10.1016/j.jbankfin.2004.06.031