Testing Random Walk Hypothesis in Turkish Foreign Exchange Market

Autor:	Levent Çitak, Veli Akel, Murat Çetin
Rok vydání:	2016
Předmět:	Turkish Financial economics Economics language Foreign exchange market language.human_language Random walk hypothesis
DOI:	10.4018/978-1-4666-9814-7.ch046
Popis:	This chapter revisits the empirical validity of the weak-form efficient market hypothesis for Turkish foreign exchange markets. The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, particularly in developed economies. This chapter applies ADF and PP unit root test, Lo and MacKinlay's (1988) conventional variance ratio test and Ljung-Box Q tests to examine the validity of the random-walk hypothesis in the Turkish foreign-exchange market. The chapter utilizes weekly nominal TRY/USD exchange rate for data from January 2000 to December 2013. The results provide evidence rejecting the random walk hypothesis for weekly nominal exchange rate series.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::68eb2bafadf5d4a968affaa90e77a1d8 https://doi.org/10.4018/978-1-4666-9814-7.ch046 Zobrazit plný text záznamu