Some Tests of Random Walk Hypothesis for Bulgarian Foreign Exchange Rates

Nikolai Gueorguiev
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Nikolai Gueorguiev: Agency for Economic Analysis and Forecasting

No 31993en, Working paper series from Agency for Economic Analysis and Forecasting

Abstract: The objective of this paper is to check if the exchange rate in newly emerged, relatively thin foreign exchange markets, follows a random walk pattern. The findings of the current study cast doubts on random walk presence in Bulgarian exchange rates against major international currencies. It turns out that the series of daily returns are stationary but correlated and therefore can be modelled better by higher-order ARIMA processes than by random walk.

Keywords: : econometrics; random walk; exchange rates (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 18 pages
Date: 1993-08
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