Testing for inefficiency in emerging markets exchange rates

Detalhes bibliográficos
Autor(a) principal: Lima, Eduardo José Araújo
Data de Publicação: 2007
Outros Autores: Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/326
https://repositorio.ucb.br:9443/jspui/handle/123456789/7548
Resumo: This paper contributes to the literature on testing the random walk hypothesis by examining multiple variance ratio tests for emerging market exchange rates on a daily and weekly frequency. We have performed these tests using a bootstrap technique, which is robust to heteroscedasticity. We examine countries that have recently adopted floating exchange rate regimes, such as some Asian and Latin American countries, and analyze their recent behavior. Empirical evidence supports the random walk hypothesis on both a daily and weekly frequency. Furthermore, we test for longrange dependence and present evidence of structural breaks in generalized Hurst exponents.
id UCB-2_d5706568e1cce1f3994791a4e11caea7
oai_identifier_str oai:200.214.135.189:123456789/7548
network_acronym_str UCB-2
network_name_str Repositório Institucional da UCB
spelling Lima, Eduardo José AraújoTabak, Benjamin Miranda2016-10-10T03:51:50Z2016-10-10T03:51:50Z2007LIMA, Eduardo José Araújo; TABAK, Benjamin Miranda. Testing for inefficiency in emerging markets exchange rates. Chaos, Solitons and Fractals , v. 33, p. 617-622, 2007.http://twingo.ucb.br:8080/jspui/handle/10869/326https://repositorio.ucb.br:9443/jspui/handle/123456789/7548This paper contributes to the literature on testing the random walk hypothesis by examining multiple variance ratio tests for emerging market exchange rates on a daily and weekly frequency. We have performed these tests using a bootstrap technique, which is robust to heteroscedasticity. We examine countries that have recently adopted floating exchange rate regimes, such as some Asian and Latin American countries, and analyze their recent behavior. Empirical evidence supports the random walk hypothesis on both a daily and weekly frequency. Furthermore, we test for longrange dependence and present evidence of structural breaks in generalized Hurst exponents.Made available in DSpace on 2016-10-10T03:51:50Z (GMT). No. of bitstreams: 5 Testing for inefficiency in emerging markets exchange rates.pdf: 107326 bytes, checksum: 7badcc7d1925c8661819290302705033 (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2007PublicadoTextoTesting for inefficiency in emerging markets exchange ratesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleChaos, Solitons and Fractalsinfo:eu-repo/semantics/openAccessengreponame:Repositório Institucional da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBORIGINALTesting for inefficiency in emerging markets exchange rates.pdfapplication/pdf107326https://200.214.135.178:9443/jspui/bitstream/123456789/7548/1/Testing%20for%20inefficiency%20in%20emerging%20markets%20exchange%20rates.pdf7badcc7d1925c8661819290302705033MD51CC-LICENSElicense_urlapplication/octet-stream52https://200.214.135.178:9443/jspui/bitstream/123456789/7548/2/license_url3d480ae6c91e310daba2020f8787d6f9MD52license_textapplication/octet-stream21716https://200.214.135.178:9443/jspui/bitstream/123456789/7548/3/license_text282d2b1a583fb55b557e8a3be8d5dd05MD53license_rdfapplication/octet-stream23930https://200.214.135.178:9443/jspui/bitstream/123456789/7548/4/license_rdf6b71892b27c4389434057b8b0e86b43eMD54LICENSElicense.txttext/plain1872https://200.214.135.178:9443/jspui/bitstream/123456789/7548/5/license.txt9ede5d1aaff3f6277cd24454ee44422eMD55TEXTTesting for inefficiency in emerging markets exchange rates.pdf.txtTesting for inefficiency in emerging markets exchange rates.pdf.txtExtracted texttext/plain17401https://200.214.135.178:9443/jspui/bitstream/123456789/7548/6/Testing%20for%20inefficiency%20in%20emerging%20markets%20exchange%20rates.pdf.txtde5e07c0a1fe7b95bdd3698aaa91ba43MD56123456789/75482017-01-17 15:08:39.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ório de Publicaçõeshttps://repositorio.ucb.br:9443/jspui/
dc.title.pt_BR.fl_str_mv Testing for inefficiency in emerging markets exchange rates
title Testing for inefficiency in emerging markets exchange rates
spellingShingle Testing for inefficiency in emerging markets exchange rates
Lima, Eduardo José Araújo
title_short Testing for inefficiency in emerging markets exchange rates
title_full Testing for inefficiency in emerging markets exchange rates
title_fullStr Testing for inefficiency in emerging markets exchange rates
title_full_unstemmed Testing for inefficiency in emerging markets exchange rates
title_sort Testing for inefficiency in emerging markets exchange rates
author Lima, Eduardo José Araújo
author_facet Lima, Eduardo José Araújo
Tabak, Benjamin Miranda
author_role author
author2 Tabak, Benjamin Miranda
author2_role author
dc.contributor.author.fl_str_mv Lima, Eduardo José Araújo
Tabak, Benjamin Miranda
dc.description.abstract.por.fl_txt_mv This paper contributes to the literature on testing the random walk hypothesis by examining multiple variance ratio tests for emerging market exchange rates on a daily and weekly frequency. We have performed these tests using a bootstrap technique, which is robust to heteroscedasticity. We examine countries that have recently adopted floating exchange rate regimes, such as some Asian and Latin American countries, and analyze their recent behavior. Empirical evidence supports the random walk hypothesis on both a daily and weekly frequency. Furthermore, we test for longrange dependence and present evidence of structural breaks in generalized Hurst exponents.
dc.description.status.pt_BR.fl_txt_mv Publicado
description This paper contributes to the literature on testing the random walk hypothesis by examining multiple variance ratio tests for emerging market exchange rates on a daily and weekly frequency. We have performed these tests using a bootstrap technique, which is robust to heteroscedasticity. We examine countries that have recently adopted floating exchange rate regimes, such as some Asian and Latin American countries, and analyze their recent behavior. Empirical evidence supports the random walk hypothesis on both a daily and weekly frequency. Furthermore, we test for longrange dependence and present evidence of structural breaks in generalized Hurst exponents.
publishDate 2007
dc.date.issued.fl_str_mv 2007
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:50Z
dc.date.available.fl_str_mv 2016-10-10T03:51:50Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv LIMA, Eduardo José Araújo; TABAK, Benjamin Miranda. Testing for inefficiency in emerging markets exchange rates. Chaos, Solitons and Fractals , v. 33, p. 617-622, 2007.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/326
https://repositorio.ucb.br:9443/jspui/handle/123456789/7548
identifier_str_mv LIMA, Eduardo José Araújo; TABAK, Benjamin Miranda. Testing for inefficiency in emerging markets exchange rates. Chaos, Solitons and Fractals , v. 33, p. 617-622, 2007.
url http://twingo.ucb.br:8080/jspui/handle/10869/326
https://repositorio.ucb.br:9443/jspui/handle/123456789/7548
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv Texto
dc.source.none.fl_str_mv reponame:Repositório Institucional da UCB
instname:Universidade Católica de Brasília (UCB)
instacron:UCB
instname_str Universidade Católica de Brasília (UCB)
instacron_str UCB
institution UCB
reponame_str Repositório Institucional da UCB
collection Repositório Institucional da UCB
bitstream.url.fl_str_mv https://200.214.135.178:9443/jspui/bitstream/123456789/7548/1/Testing%20for%20inefficiency%20in%20emerging%20markets%20exchange%20rates.pdf
https://200.214.135.178:9443/jspui/bitstream/123456789/7548/2/license_url
https://200.214.135.178:9443/jspui/bitstream/123456789/7548/3/license_text
https://200.214.135.178:9443/jspui/bitstream/123456789/7548/4/license_rdf
https://200.214.135.178:9443/jspui/bitstream/123456789/7548/5/license.txt
https://200.214.135.178:9443/jspui/bitstream/123456789/7548/6/Testing%20for%20inefficiency%20in%20emerging%20markets%20exchange%20rates.pdf.txt
bitstream.checksum.fl_str_mv 7badcc7d1925c8661819290302705033
3d480ae6c91e310daba2020f8787d6f9
282d2b1a583fb55b557e8a3be8d5dd05
6b71892b27c4389434057b8b0e86b43e
9ede5d1aaff3f6277cd24454ee44422e
de5e07c0a1fe7b95bdd3698aaa91ba43
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
MD5
MD5
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1724829828910153728

Registros relacionados