EconPapers    
Economics at your fingertips  
 

Efficiency in BRICS Currency Markets Using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability

Rangan Gupta () and Vasilios Plakandaras ()

Journal of Economics and Behavioral Studies, 2019, vol. 11, issue 1, 152-165

Abstract: We analyze the directional predictability in foreign exchange markets of Brazil, Russia, India, China and South Africa (BRICS) using the quantilogram, based on long-spans of monthly historical data, at times covering over a century. We find that the efficient market hypothesis (EMH) holds at the extreme phases of the currency markets (and around the median for India and South Africa). Since predictability holds at certain parts of the unconditional distribution of exchange rate returns, we find support for the Adaptive Market Hypothesis (AMH). AMH, based on the idea of bounded rationality, suggests that currency return predictability will be intermittent, due to changing market conditions and institutional factors.

Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://ojs.amhinternational.com/index.php/jebs/article/view/2756/1816 (application/pdf)
https://ojs.amhinternational.com/index.php/jebs/article/view/2756 (text/html)

Related works:
Working Paper: Efficiency in BRICS Currency Markets using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability (2018)
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:rnd:arjebs:v:11:y:2019:i:1:p:152-165

DOI: 10.22610/jebs.v11i1(J).2756.g1816

Access Statistics for this article

More articles in Journal of Economics and Behavioral Studies from AMH International
Bibliographic data for series maintained by Muhammad Tayyab ().

 
Page updated 2019-10-19
Handle: RePEc:rnd:arjebs:v:11:y:2019:i:1:p:152-165