Joint Variance Ratio Tests of the Martingale Hypothesis for Exchange Rates

• Main Authors: FONG, Wai Mun, KOH, Benedict Seng Kee, Ouliaris, Sam
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1997
• Subjects: Exchange rates; multiple-comparisons tests; overlapping observations; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2186; https://ink.library.smu.edu.sg/context/lkcsb_research/article/3185/viewcontent/Joint_Variance_Ratio_Tests_of_the_Martingale_Hypothesis_pv_1997.pdf
• Institution: Singapore Management University

There is considerable interest in whether exchange rates behave like martingales. Liu and He tested the martingale hypothesis for exchange rates using the variance-ratio methodology of Lo and MacKinlay. They found that exchange rates have violated the martingale property since the inception of float...