Testing for inefficiency in emerging markets exchange rates
Autor(a) principal: | |
---|---|
Data de Publicação: | 2007 |
Outros Autores: | |
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 15:08:39.581TElDRU7Dh0EgREUgRElTVFJJQlVJw4fDg08gTsODTy1FWENMVVNJVkEgCgpBbyBhc3NpbmFyIGUgZW50cmVnYXIgZXN0YSBsaWNlbsOnYSwgby9hIFNyLi9TcmEuIChhdXRvciBvdSBkZXRlbnRvciBkb3MgZGlyZWl0b3MgZGUgYXV0b3IpOgoKYSkgQ29uY2VkZSBhIFVuaXZlcnNpZGFkZSBDYXTDs2xpY2EgZGUgQnJhc8OtbGlhIG8gZGlyZWl0byBuw6NvLWV4Y2x1c2l2byBkZSByZXByb2R1emlyLCBjb252ZXJ0ZXIgKGNvbW8gZGVmaW5pZG8gZW0gYmFpeG8pLGNvbXVuaWNhciBlL291IGRpc3RyaWJ1aXIgbyBkb2N1bWVudG8gZW50cmVndWUgKGluY2x1aW5kbyBvIHJlc3Vtby9hYnN0cmFjdCkgZW0gZm9ybWF0byBkaWdpdGFsIG91IGltcHJlc3NvIGUgZW0gcXVhbHF1ZXIgbWVpby4gCgpiKSBEZWNsYXJhIHF1ZSBvIGRvY3VtZW50byBlbnRyZWd1ZSDDqSBzZXUgdHJhYmFsaG8gb3JpZ2luYWwsIGUgcXVlIGRldMOpbSBvIGRpcmVpdG8gZGUgY29uY2VkZXJvcyBkaXJlaXRvcyBjb250aWRvcyBuZXN0YSBsaWNlbsOnYS4gRGVjbGFyYSB0YW1iw6ltIHF1ZSBhIGVudHJlZ2EgZG8gZG9jdW1lbnRvIG7Do28gaW5mcmluZ2UsIHRhbnRvIHF1YW50byBsaGUgw6kgcG9zc8OtdmVsIHNhYmVyLCBvcyBkaXJlaXRvcyBkZSBxdWFscXVlciBvdXRyYSBwZXNzb2Egb3UgZW50aWRhZGUuIAoKYykgU2UgbyBkb2N1bWVudG8gZW50cmVndWUgY29udMOpbSBtYXRlcmlhbCBkbyBxdWFsIG7Do28gZGV0w6ltIG9zIGRpcmVpdG9zIGRlIGF1dG9yLCBkZWNsYXJhIHF1ZSBvYnRldmUgYXV0b3JpemHDp8OjbyBkbyBkZXRlbnRvciBkb3MgZGlyZWl0b3MgZGUgYXV0b3IgcGFyYSBjb25jZWRlciBhIFVuaXZlcnNpZGFkZSBDYXTDs2xpY2EgZGUgQnJhc8OtbGlhIG9zIGRpcmVpdG9zIHJlcXVlcmlkb3MgcG9yIGVzdGEgbGljZW7Dp2EsIGUgcXVlIGVzc2UgbWF0ZXJpYWwgY3Vqb3MgZGlyZWl0b3Mgc8OjbyBkZSB0ZXJjZWlyb3MgZXN0w6EgY2xhcmFtZW50ZSBpZGVudGlmaWNhZG8gZSByZWNvbmhlY2lkbyBubyB0ZXh0byBvdSBjb250ZcO6ZG8gZG8gZG9jdW1lbnRvIGVudHJlZ3VlLiAKClNlIG8gZG9jdW1lbnRvIGVudHJlZ3VlIMOpIGJhc2VhZG8gZW0gdHJhYmFsaG8gZmluYW5jaWFkbyBvdSBhcG9pYWRvIHBvciBvdXRyYSBpbnN0aXR1acOnw6NvIHF1ZSBuw6NvIGEgVW5pdmVyc2lkYWRlIENhdMOzbGljYSBkZSBCcmFzw61saWEsIGRlY2xhcmEgcXVlIGN1bXByaXUgcXVhaXNxdWVyIG9icmlnYcOnw7VlcyBleGlnaWRhcyBwZWxvIHJlc3BlY3Rpdm8gY29udHJhdG8gb3UgYWNvcmRvLiAKCkEgVW5pdmVyc2lkYWRlIENhdMOzbGljYSBkZSBCcmFzw61saWEgaWRlbnRpZmljYXLDoSBjbGFyYW1lbnRlIG8ocykgc2V1ICh2b3Nzbykgbm9tZShzKSBjb21vIG8ocykgYXV0b3IoZXMpIG91IGRldGVudG9yKGVzKWRvcyBkaXJlaXRvcyBkbyBkb2N1bWVudG8gZW50cmVndWUsIGUgbsOjbyBmYXLDoSBxdWFscXVlciBhbHRlcmHDp8OjbywgcGFyYSBhbMOpbSBkYXMgcGVybWl0aWRhcyBwb3IgZXN0YSBsaWNlbsOnYQoKw4kgbmVjZXNzw6FyaW8gcXVlIGNvbmNvcmRlIGNvbSBhIGxpY2Vuw6dhIGRlIGRpc3RyaWJ1acOnw6NvIG7Do28tZXhjbHVzaXZhLCBhbnRlcyBkbyBzZXUgZG9jdW1lbnRvIHBvZGVyIGFwYXJlY2VyIG5hIFJlcG9zaXTDs3JpbyBkYSBVbml2ZXJzaWRhZGUgQ2F0w7NsaWNhIGRlIEJyYXPDrWxpYS4gUG9yIGZhdm9yLCBsZWlhIGEgbGljZW7Dp2EgYXRlbnRhbWVudGUuIENhc28gcHJldGVuZGEgYWxndW0gZXNjbGFyZWNpbWVudG8gZW50cmUgZW0gY29udGF0byBwb3IgY29ycmVpbyBlbGV0csO0bmljbyAtIGNkaUB1Y2IuYnIgb3UgdGVsZWZvbmUgLSAoMHh4NjEpIDMzNTYtOTAyOS85MDk5LgoKRepositório 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 |