Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country
Tóm tắt
Từ khóa
Tài liệu tham khảo
Aghion, 2009, Exchange rate volatility and productivity growth: The role of financial development, Journal of Monetary Economics, 56, 494, 10.1016/j.jmoneco.2009.03.015
Al-Khazali, 2011, Market efficiency of floating exchange rate systems: Some evidence from Pacific-Asian countries, Global Finance Journal, 22, 154, 10.1016/j.gfj.2011.10.005
Al-Khazali, 2012, Are exchange rate movements predictable in Asia-Pacific markets? Evidence of random walk and martingale difference processes, International Review of Economics and Finance, 21, 221, 10.1016/j.iref.2011.07.002
Aron, 1997, Foreign exchange market efficiency tests in Sub-Saharan Africa, Journal of African Economies, 6, 150
Atingi-Ego, 2003, Measuring efficiency of a market in transition: The Uganda foreign exchange market
Atingi-Ego, 2004
Aumeboonsuke, 2014, The importance of using a test of weak-form market efficiency that does not require investigating the data first, International Review of Economics & Finance, 33, 350, 10.1016/j.iref.2014.02.009
Ayogu, 1997
Bank of Uganda, 1999
Bank of Uganda, 2009
Bank of Uganda, 2011
Bank of Uganda, 2012
Bank of Uganda, 2012
Bank of Uganda, 2012, Foreign Exchange Rates
Bank of Uganda, 2012
Bank of Uganda, 2012
Bategeka, 2011, Banking sector liberalisation in Uganda: Process, results and policy options
Belaire-Franch, 2004, Ranks and signs-based multiple variance ratio tests
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
Belaire-Franch, 2009, Testing for random walk in euro exchange rates using the subsampling approach, Applied Economics Letters, 17, 1145, 10.1080/00036840902817581
Brownbridge, 2010, Aligning aid with government fiscal objectives, 277
Burton, 2003, The efficient market hypothesis and its critics, The Journal of Economic Perspectives, 17, 59, 10.1257/089533003321164958
Byaruhanga, 2010, Exchange rate, fiscal, and monetary policy, 52
Chang, 2004, A re-examination of variance-ratio test of random walks in foreign exchange rates, Applied Financial Economics, 14, 671, 10.1080/0960310042000233449
Charles, 2012, Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates, Journal of International Money and Finance, 31, 1607, 10.1016/j.jimonfin.2012.03.003
Chiang, 2010, Efficiency tests of foreign exchange markets for four Asian countries, Research in International Business and Finance, 24, 284, 10.1016/j.ribaf.2010.01.001
Choi, 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14, 293, 10.1002/(SICI)1099-1255(199905/06)14:3<293::AID-JAE503>3.0.CO;2-5
Chow, 1993, A simple multiple variance ratio test, Journal of Econometrics, 58, 385, 10.1016/0304-4076(93)90051-6
Chuluun, 2011, Investment intensity of currencies and the random walk hypothesis: Cross-currency evidence, Journal of Banking & Finance, 35, 372, 10.1016/j.jbankfin.2010.08.013
De Jong, 2010, Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS, Journal of International Money and Finance, 29, 1652, 10.1016/j.jimonfin.2010.05.007
Fama, 1970, Efficient capital markets: A review of theory and empirical work, The Journal of Finance, 25, 383, 10.2307/2325486
Fama, 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics, 49, 283, 10.1016/S0304-405X(98)00026-9
Friesen, 2009, Price trends and patterns in technical analysis: A theoretical and empirical examination, Journal of Banking & Finance, 33, 1089, 10.1016/j.jbankfin.2008.12.010
Harris, 2009, A momentum trading strategy based on the low frequency component of the exchange rate, Journal of Banking & Finance, 33, 1575, 10.1016/j.jbankfin.2009.03.003
Kasekende, 2004
Kasekende, 1994, Exchange rate unification and economic development: The case of Uganda 1987–1992, World Development, 22, 1183, 10.1016/0305-750X(94)90085-X
Kim, 2006, Wild bootstrapping variance ratio tests, Economics Letters, 92, 38, 10.1016/j.econlet.2006.01.007
Kim, 2009, Automatic variance ratio test under conditional heteroskedasticity, Finance Research Letters, 6, 179, 10.1016/j.frl.2009.04.003
Kim, 2011, Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data, Journal of Empirical Finance, 18, 868, 10.1016/j.jempfin.2011.08.002
Koutmos, 2011, Currency bid–ask spread dynamics and the Asian crisis: Evidence across currency regimes, Journal of International Money and Finance, 30, 62, 10.1016/j.jimonfin.2010.07.001
Lazăr, 2012, Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets, Economic Systems, 36, 338, 10.1016/j.ecosys.2012.02.002
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 and Money, 11, 199, 10.1016/S1042-4431(00)00050-0
Lim, 2011, The evolution of stock market efficiency over time: a survey of the empirical literature, Journal of Economic Surveys, 25, 69, 10.1111/j.1467-6419.2009.00611.x
Lo, 2004, The adaptive markets hypothesis: market efficiency from an evolutionary perspective, The Journal of Portfolio Management, 30, 15, 10.3905/jpm.2004.442611
Lo, 1988, Stock market prices do not follow random walks: Evidence from a simple specification test, The Review of Financial Studies, 1, 41, 10.1093/rfs/1.1.41
Lo, 1989, The size and power of the variance ratio test in finite samples: A Monte Carlo investigation, Journal of Econometrics, 40, 203, 10.1016/0304-4076(89)90083-3
Martin, 2001, Technical trading rules in the spot foreign exchange markets of developing countries, Journal of Multinational Financial Management, 11, 59, 10.1016/S1042-444X(00)00042-6
Melvin, 1996, Foreign exchange market bid–ask spreads and the market price of social unrest, Oxford Economic Papers, 48, 329, 10.1093/oxfordjournals.oep.a028571
Neely, 2002, The temporal pattern of trading rule returns and exchange rate intervention: Intervention does not generate technical trading rule profits, Journal of International Economics, 58, 211, 10.1016/S0022-1996(01)00163-5
Neely, 2011, Technical analysis in the foreign exchange market
Neely, 2009, The adaptive markets hypothesis: Evidence from the foreign exchange market, Journal of Financial and Quantitative Analysis, 44, 467, 10.1017/S0022109009090103
Olson, 2004, Have trading rule profits in the currency markets declined over time?, Journal of Banking & Finance, 28, 85, 10.1016/S0378-4266(02)00399-0
Osler, 2011, Extreme returns: The case of currencies, Journal of Banking & Finance, 35, 2868, 10.1016/j.jbankfin.2011.03.016
Park, 2007, What do we know about the profitability of technical analysis?, Journal of Economic Surveys, 21, 786, 10.1111/j.1467-6419.2007.00519.x
Richardson, 1991, Tests of financial models in the presence of overlapping observations, The Review of Financial Studies, 4, 227, 10.1093/rfs/4.2.227
Serban, 2010, Combining mean reversion and momentum trading strategies in foreign exchange markets, Journal of Banking & Finance, 34, 2720, 10.1016/j.jbankfin.2010.05.011
Sifunjo, 2008, An analysis of the efficiency of the foreign exchange market in Kenya, Economics Bulletin, 14, 1
Tabak, 2009, Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules, European Journal of Operational Research, 194, 814, 10.1016/j.ejor.2008.01.005
Taylor, 2007
Timmermann, 2004, Efficient market hypothesis and forecasting, International Journal of Forecasting, 20, 15, 10.1016/S0169-2070(03)00012-8
Tumusiime-Mutebile, 2011, Bank of Uganda's position on the exchange rate
Tumusiime-Mutebile, 2012, Macroeconomic management in turbulent times BIS central bankers' speeches
Westerhoff, 2003, Expectations driven distortions in the foreign exchange market, Journal of Economic Behavior & Organization, 51, 389, 10.1016/S0167-2681(02)00151-8
Whitworth, 2010, Overview of Ugandan economic reform since 1986, 277