| Autor: |
Afees A. Salisu, Tirimisiyu F. Oloko, Oluwatomisin J. Oyewole |
| Jazyk: |
angličtina |
| Rok vydání: |
2016 |
| Předmět: |
|
| Zdroj: |
Borsa Istanbul Review, Vol 16, Iss 4, Pp 210-218 (2016) |
| Druh dokumentu: |
article |
| ISSN: |
2214-8450 |
| DOI: |
10.1016/j.bir.2016.09.001 |
| Popis: |
This study tests for martingale difference hypothesis (MDH) in nine selected Foreign Exchange (FX) markets from Asia–Pacific countries. Its main contributions to the literature include: (i) it adopts recent techniques in both the Autocorrelation based and Spectrum based tests for MDH, namely; the Wild Bootstrap Automatic Variance Ratio test by Kim (2009) and the Wild Bootstrap Generalized Spectral test by Escanciano and Velasco (2006); (ii) it determines structural breaks endogenously for all the returns series using Perron (2006) unit root test with structural break, and (iii) based on the Perron results, it obtains two sub-samples and thereafter tests for MDH. Empirical result from this study shows that FX market efficiency could be inconsistent over time due to changes in policies and events. Thus, a preliminary test for the presence significant structural break may be necessary when testing for MDH. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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