• Login
    View Item 
    •   DSpace Home
    • School of Business Administration (SBA)
    • Department of Finance
    • View Item
    •   DSpace Home
    • School of Business Administration (SBA)
    • Department of Finance
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries

    Thumbnail
    View/ Open
    Market Efficiency of Floating Exchange Rate Systems Some Evidence from Pacific-Asian Countries.pdf (486.5Kb)
    Date
    2011
    Author
    Al-Khazali, Osamah
    Leduc, Guillaume
    Pyun, Chong S.
    Advisor(s)
    Unknown advisor
    Type
    Peer-Reviewed
    Article
    Published version
    Metadata
    Show full item record
    Abstract
    This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright’s (2000) non-parametric procedure to test the RWH and Kuan and Lee’s (2004) procedure to test the MDH. The results of Wright’s tests and Kuan and Lee’s test are adjusted for size distortion. The RWH is rejected for all currencies before and after the Asian crisis. The results of Kuan and Lee’s test are consistent with the fact that the RWH is more stringent than the MDH. For the three testing periods, the MDH fails to reject the AUD. For all other currencies the MDH is rejected at least for one benchmark over two periods, indicating that the market efficiency in these markets have not significantly improved under the floating rate systems following the Asian financial crisis.
    DSpace URI
    http://hdl.handle.net/11073/16672
    External URI
    https://doi.org/10.1016/j.gfj.2011.10.005
    Collections
    • Department of Finance
    • Department of Mathematics and Statistics

    Browse

    All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsCollege/DeptArchive ReferenceSeriesThis CollectionBy Issue DateAuthorsTitlesSubjectsCollege/DeptArchive ReferenceSeries

    My Account

    LoginRegister

    Statistics

    View Usage Statistics

    DSpace software copyright © 2002-2016  DuraSpace
    Submission Policies | Terms of Use | Takedown Policy | Privacy Policy | About Us | Contact Us | Send Feedback

    Return to AUS
    Theme by 
    Atmire NV