Are exchange rates serially correlated? New evidence from the Euro FX markets

Adrian Wai‐Kong Cheung, Jen‐Je Su and Astrophel Kim Choo

Review of Financial Economics, 2012, vol. 21, issue 1, 14-20

Abstract: This paper examines the serial uncorrelatedness hypothesis in the Euro FX markets by testing for autocorrelation in daily FX returns of 82 countries over the period of 1999–2010. We use three newly developed tests that are robust to conditional heteroskedasticity of unknown forms and that do not choose a lag parameter arbitrarily. They are Escanciano & Lobato (2009)'s automatic Box–Pierce Qp test, Nankervis & Savin (2010)'s generalized Andrews–Ploberger test and Deo (2000)'s robust Durlauf test. We find no significant autocorrelation in the FX returns of around 58 to 62 countries, suggesting that majority of the Euro FX markets are weak‐form efficient.

Date: 2012
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https://doi.org/10.1016/j.rfe.2011.12.001

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Persistent link: https://EconPapers.repec.org/RePEc:wly:revfec:v:21:y:2012:i:1:p:14-20

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