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Empirical Testing Of Random Walk Of Euro Exchange Rates: Evidence From The Emerging Markets

Year: 2011

Type: article

Abstract: This paper utilizes the new non-parametric variance ratio tests based on signs and ranks to examine the random walk hypothesis of Euro exchange rates for 10 Middle Eastern and North African (MENA) currencies. The results of the new- variance ratio tests reject the random walk hypothesis for all currencies except the Kuwaiti and the Emirate currencies. Given the improved size and power properties of Wright’s (2000) ranks and signs tests, the results of the new variance ratio tests are robust to the results of the traditional LOMAC variance ratio tests.

Source: Journal of Business & Economics Research (JBER)

DOI: 10.19030/jber.v4i4.2656

Authors: Osamah M. Al-Khazali, Evangelos P. Koumanakos

Institutions: American University of Sharjah, National Bank of Greece (Greece)

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2173210182

FWCI: 1.539

Cites: 22

Cited by: 6

Related to: 10