A guide on the univariate tests on the weak form efficiency applied to the foreign exchange market
This paper provides a guide in testing the weak form efficient market hypothesis applied to foreign exchange markets evidence by the presence of a martingale or random walk property. Various econometric models would be explained along with their respective limitations or issues. The various univaria...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2009
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/18414 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | This paper provides a guide in testing the weak form efficient market hypothesis applied to foreign exchange markets evidence by the presence of a martingale or random walk property. Various econometric models would be explained along with their respective limitations or issues. The various univariate tests are categorized into three classifications namely: autocorrelation tests, unit root tests and variance ratio test. The paper would also present a formal testing of the different univariate tests. This could help the readers understand the different tests and interpret their results. This paper would use the updated dataset of Baillie and Bollerslev which would include five bilateral exchange rates: French franc (FRF), Japanese yen (JPY), US dollar (USD) and British pound (GBP) with respect to the Philippine peso (PHP) for the years 1995 to 2008. |
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