Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries
This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright’s (2000) non-parametric procedure to test the RWH and Kuan and Lee’s (2004) procedure...
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| Format: | article |
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2011
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| Online Access: | http://hdl.handle.net/11073/16672 |
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| _version_ | 1864513444609261568 |
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| author | Al-Khazali, Osamah |
| author2 | Leduc, Guillaume Pyun, Chong S. |
| author2_role | author author |
| author_facet | Al-Khazali, Osamah Leduc, Guillaume Pyun, Chong S. |
| author_role | author |
| dc.creator.none.fl_str_mv | Al-Khazali, Osamah Leduc, Guillaume Pyun, Chong S. |
| dc.date.none.fl_str_mv | 2011 2020-06-03T08:37:20Z 2020-06-03T08:37:20Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Alkhazali, Osamah, Guillaume Leduc, and Pyun, Chong Soo. "Market efficiency of floating exchange rate systems: Some evidence from Pacific-Asian countries." Global Finance Journal 22, no. 2 (October, 2011): 154–168. doi: 10.1016/j.gfj.2011.10.005 1044-0283 http://hdl.handle.net/11073/16672 10.1016/j.gfj.2011.10.005 |
| dc.language.none.fl_str_mv | en_US |
| dc.publisher.none.fl_str_mv | Elsevier |
| dc.relation.none.fl_str_mv | https://doi.org/10.1016/j.gfj.2011.10.005 |
| dc.subject.none.fl_str_mv | Efficiency of foreign exchange markets Random walk Martingale difference hypothesis Emerging currency markets |
| dc.title.none.fl_str_mv | Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries |
| dc.type.none.fl_str_mv | Peer-Reviewed Published version info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright’s (2000) non-parametric procedure to test the RWH and Kuan and Lee’s (2004) procedure to test the MDH. The results of Wright’s tests and Kuan and Lee’s test are adjusted for size distortion. The RWH is rejected for all currencies before and after the Asian crisis. The results of Kuan and Lee’s test are consistent with the fact that the RWH is more stringent than the MDH. For the three testing periods, the MDH fails to reject the AUD. For all other currencies the MDH is rejected at least for one benchmark over two periods, indicating that the market efficiency in these markets have not significantly improved under the floating rate systems following the Asian financial crisis. |
| format | article |
| id | aus_62f3395f5fca2d4fb4d80ebffe66d34e |
| identifier_str_mv | Alkhazali, Osamah, Guillaume Leduc, and Pyun, Chong Soo. "Market efficiency of floating exchange rate systems: Some evidence from Pacific-Asian countries." Global Finance Journal 22, no. 2 (October, 2011): 154–168. doi: 10.1016/j.gfj.2011.10.005 1044-0283 10.1016/j.gfj.2011.10.005 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/16672 |
| publishDate | 2011 |
| publisher.none.fl_str_mv | Elsevier |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian CountriesAl-Khazali, OsamahLeduc, GuillaumePyun, Chong S.Efficiency of foreign exchange marketsRandom walkMartingale difference hypothesisEmerging currency marketsThis paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright’s (2000) non-parametric procedure to test the RWH and Kuan and Lee’s (2004) procedure to test the MDH. The results of Wright’s tests and Kuan and Lee’s test are adjusted for size distortion. The RWH is rejected for all currencies before and after the Asian crisis. The results of Kuan and Lee’s test are consistent with the fact that the RWH is more stringent than the MDH. For the three testing periods, the MDH fails to reject the AUD. For all other currencies the MDH is rejected at least for one benchmark over two periods, indicating that the market efficiency in these markets have not significantly improved under the floating rate systems following the Asian financial crisis.Elsevier2020-06-03T08:37:20Z2020-06-03T08:37:20Z2011Peer-ReviewedPublished versioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfAlkhazali, Osamah, Guillaume Leduc, and Pyun, Chong Soo. "Market efficiency of floating exchange rate systems: Some evidence from Pacific-Asian countries." Global Finance Journal 22, no. 2 (October, 2011): 154–168. doi: 10.1016/j.gfj.2011.10.0051044-0283http://hdl.handle.net/11073/1667210.1016/j.gfj.2011.10.005en_UShttps://doi.org/10.1016/j.gfj.2011.10.005oai:repository.aus.edu:11073/166722024-08-22T12:02:16Z |
| spellingShingle | Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries Al-Khazali, Osamah Efficiency of foreign exchange markets Random walk Martingale difference hypothesis Emerging currency markets |
| status_str | publishedVersion |
| title | Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries |
| title_full | Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries |
| title_fullStr | Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries |
| title_full_unstemmed | Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries |
| title_short | Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries |
| title_sort | Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries |
| topic | Efficiency of foreign exchange markets Random walk Martingale difference hypothesis Emerging currency markets |
| url | http://hdl.handle.net/11073/16672 |