 Testing for martingale difference hypothesis with structural breaks: Evidence from AsiaePacific foreign exchange marketsAfees Salisu, Tirimisiyu Oloko and Oluwatomisin Oyewole Borsa Istanbul Review, 2016, vol. 16, issue 4, 210-218 Abstract: This study tests for martingale difference hypothesis (MDH) in nine selected Foreign Exchange (FX) markets from AsiaePacific countries. Its main contributions to the literature include: (i) it adopts recent techniques in both the Autocorrelation based and Spectrum based tests for MDH, namely; the Wild Bootstrap Automatic Variance Ratio test by Kim (2009) and the Wild Bootstrap Generalized Spectral test by Escanciano and Velasco (2006); (ii) it determines structural breaks endogenously for all the returns series using Perron (2006) unit root test with structural break, and (iii) based on the Perron results, it obtains two sub-samples and thereafter tests for MDH. Empirical result from this study shows that FX market efficiency could be inconsistent over time due to changes in policies and events. Thus, a preliminary test for the presence significant structural break may be necessary when testing for MDH. Keywords: Martingale difference hypothesis (MDH); Structural breaks; AsiaePacific; FX market (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:16:y:2016:i:4:p:210-218 Access Statistics for this article More articles in Borsa Istanbul Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC. |
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