Testing for random walk behavior in euro exchange rates

Amélie Charles () and Olivier Darné
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Amélie Charles: Audencia Recherche - Audencia Business School

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Abstract: This study examines the random walk behavior of major Euro exchange rates. The hypothesis is tested with new variance ratio tests based on power transformation and multiple ranks from daily and weekly data. We find that Euro exchange rates for the major trading countries follow the random walk hypothesis, and therefore are significantly weak-form efficient. This outcome is not necessarily the case for non-major trading currencies, especially for the Swedish kroner, where the random walk hypothesis is rejected at the daily and weekly frequencies.

Keywords: Exchange market efficiency; Euro exchange rates; Random walk; Variance ratio test; Efficience du marché des changes; Taux de change de l'euro; Marche aléatoire; Test du rapport de variances (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (8)

Published in International Economics/Economie Internationale, 2009, (119), pp.25-45

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00771082

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