Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates

Wai Mun Fong, Seng Kee Koh and Sam Ouliaris

Journal of Business & Economic Statistics, 1997, vol. 15, issue 1, 51-59

Abstract: There is considerable interest as to whether exchange races behave like martingales. Liu and He (1991) test the martingale hypothesis for exchange rates using the variance ratio methodology of Lo and MacKinlay (1988). They find that exchange rates have violated martingale property since the inception of floating rates in 1973. However, Liu and He did not consider the joint implications of their tests, In this paper, we reassess the martingale hypothesis for exchange rates using the joint tests developed by Hochberg (1974) and Richardson and Smith (1991). Contrary to the findings of Liu He, the joint tests indicate that the martingale model worked quite well for exchange rates in the recent years of the floating rate regime.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (37)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:15:y:1997:i:1:p:51-59

Ordering information: This journal article can be ordered from
http://www.amstat.org/publications/index.html

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Jonathan H. Wright and Keisuke Hirano

More articles in Journal of Business & Economic Statistics from American Statistical Association
Bibliographic data for series maintained by Christopher F. Baum ().