On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules

This study employs a joint variance ratio test and technical trading rules to examine the random walk behavior for nine Asian foreign exchange rates for the period 1988–1995. The joint variance ratio test results suggest that there is little evidence of serial correlations in the daily exchange rate...

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Bibliographic Details
Published in:Journal of international financial markets, institutions & money institutions & money, 2001-06, Vol.11 (2), p.199-214
Main Authors: Lee, Chun I., Pan, Ming-Shiun, Liu, Y.Angela
Format: Article
Language:English
Subjects:
Asia
Correlation
Exchange rates
Foreign exchange
Mathematical economics
Statistics
Technical trading rules
Trade
Variance
Variance ratio test
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Summary:This study employs a joint variance ratio test and technical trading rules to examine the random walk behavior for nine Asian foreign exchange rates for the period 1988–1995. The joint variance ratio test results suggest that there is little evidence of serial correlations in the daily exchange rate series. The results also indicate that, in general, the moving average and channel trading rules do not generate significant, positive profits.
ISSN:1042-4431
1873-0612
DOI:10.1016/S1042-4431(00)00050-0