Market efficiency of floating exchange rate systems: Some evidence from Pacific-Asian countries

Global Finance Journal - Tập 22 - Trang 154-168 - 2011
Osamah M. Al-Khazali1, Guillaume Leduc2, Chong Soo Pyun3
1Department of Accounting and Finance, American University of Sharjah, United Arab Emirates
2Department of Mathematics and Statistics, American University of Sharjah, United Arab Emirates
3Department of Finance, University of Memphis, United States

Tài liệu tham khảo

Ahn, 2002, Noise trading in the Korean foreign exchange market: Some questionnaire evidence, Economic Paper, 5, 133 Ajayi, 1996, Variance ratio test of random walk in exchange rates: Evidence from Pacific Basin Economies, Pacific Basin Finance Journal, 4, 77, 10.1016/0927-538X(95)00022-D Baharumshah, 2005, A panel study on real interest rate parity in East Asian countries, Global Finance Journal, 16, 69, 10.1016/j.gfj.2005.05.005 Belaire-Franch, 2005, Some evidence of random walk behavior of Euro exchange rates using ranks and signs, Journal of Banking and Finance, 29, 1631, 10.1016/j.jbankfin.2004.06.031 Bowman, 2005, Yen block or koala bloc? Currency relationships after the East Asian crisis, Japan and the World Economy, 17, 83, 10.1016/j.japwor.2003.09.002 Calvo, 2003, The mirage of exchange regimes for emerging market countries, The Journal of Economic Perspectives, 17, 99, 10.1257/089533003772034916 Cheung, 2005, Empirical exchange rate models of the nineties: Are any fit to survive?, Journal of International Money and Finance, 24, 1150, 10.1016/j.jimonfin.2005.08.002 Chow, 1993, A simple multiple variance ratio test, Journal of Econometrics, 58, 385, 10.1016/0304-4076(93)90051-6 Deo, 2003, On the asymptotic power of the variance ratio test, Econometric Theory, 19, 231, 10.1017/S0266466603192018 Dominguez, 2003, Testing the Martingale different hypothesis: A consistent test for the martingale difference, Econometric Review, 22, 351, 10.1081/ETC-120025895 Ee, H. K., Robinson, J. and Lee. J. (2004) Managed Floating and Intermediate Exchange Rate System: The Singapore Experience. Monetary Authority of Singapore Staff Paper No.37. Eichengreen, 2004, Why has there been less financial integration is Asia than in Europe Fong, 1997, Joint variance ratio tests of the martingale hypothesis for exchange rates, The Journal of Business and Economic Statistics, 15, 51, 10.2307/1392073 Gau, 2005, Intraday volatility in the Taipei FX market, Pacific-Basin Finance Journal, 13, 471, 10.1016/j.pacfin.2004.12.002 Hong, 2003, Inference on predictability of foreign exchange changes via generalized spectrum and nonlinear time series models, The Review of Economics and Statistics, 85, 1048, 10.1162/003465303772815925 Hoque, 2007, A comparison of variance ratio tests of random walk: A case of Asian emerging markets, International Review of Economics and Finance, 16, 488, 10.1016/j.iref.2006.01.001 International Monetary Fund, 2006 Jeon, 2003, The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries, Pacific-Basin Finance Journal, 11, 509, 10.1016/S0927-538X(03)00052-0 Kang, 2002, Exchange rate pass-through in East Asia Kearney, 2008, Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?, International Review of Financial Analysis, 17, 870, 10.1016/j.irfa.2007.08.003 Kilian, 2003, Why is it so difficult to beat the random walk forecast of exchange rate?, Journal of International Economics, 60, 85, 10.1016/S0022-1996(02)00060-0 Kuan, 2004, A new test of the martingale difference hypothesis, Studies in Nonlinear Dynamics & Econometrics, 8, 10.2202/1558-3708.1191 Lee, 2001, Trading rule profits in Latin American currency spot rate, International Review of Financial Analysis, 10, 135, 10.1016/S1057-5219(01)00042-4 Lee, 2004, Revisiting the Martingale hypothesis for exchange rates, 10.1596/1813-9450-3370 Lee, 2001, On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules, Journal of International Financial Markets, Institutions & Money, 11, 199, 10.1016/S1042-4431(00)00050-0 Lima, 2005, Testing the random walk hypothesis for emerging market exchange rates, 10.1596/1813-9450-3565 Liu, 1991, A variance ratio test of random walk in foreign exchange rates, Journal of Finance, 46, 773, 10.2307/2328848 Lo, 1988, Stock market prices do not follow random walks: Evidence from a simple specification test, Review of Financial Studies, 1, 41, 10.1093/rfs/1.1.41 Lo, 1989, The size and power of variance ratio test in finite samples: A Monte Carlo investigation, Journal of Econometrics, 40, 203, 10.1016/0304-4076(89)90083-3 Ma, 2004, The markets for non-deliverable forwards in Asian currencies, BIS Quarterly Review, 81 McCauley, 2008, Nonstationaryity of efficient finance markets: FX markets evolution from stability to instability, International Review of Financial Analysis, 17, 820, 10.1016/j.irfa.2008.02.004 McCauley, 2009, RCH and GARCH models vs. martingale of volatility of finance market returns, International Review of Financial Analysis, 18, 151, 10.1016/j.irfa.2009.05.002 Mishra, 2010, Real exchange rate behavior and optimum currency area I Asia: Evidence from Generalized Purchasing Power Parity, International Review of Financial Analysis, 19, 205, 10.1016/j.irfa.2010.02.003 Neely, 2009, The adaptive markets hypothesis: Evidence from the foreign exchange market, Journal of Financial and Quantitative Analysis, 44, 467, 10.1017/S0022109009090103 Ryoo, 2001, Exchange rate movement before and after free floating: Efficiency and technical trading profitability, Economic Papers, 4, 160 Urrutia, 1992, Variance ratio tests of random walk for foreign exchange rates, Economics Letters, 38, 457, 10.1016/0165-1765(92)90034-V Wright, 2000, Alternative variance ratio tests using ranks and signs, Journal of Business & Economic Statistics, 18, 1, 10.2307/1392131 Yilmaz, 2003, Martingale property of exchange rates and central bank intervention, Journal of Business and Economics Statistics, 21, 383, 10.1198/073500103288619034