On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules |
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| Institution: | 1. Department of Business Administration, Texas Southern University, Houston, TX 77004, USA;2. Department of Finance, Decision Sciences, and Information Systems, Shippensburg University, Shippensburg, PA 17257, USA;3. Department of Business Administration, National Chung Cheng University, Chia-Yi 621, Taiwan;1. University of Waterloo, Waterloo AI Institute, Ontario, Canada;2. Vector Institute, Toronto, Canada;3. Huawei Technologies, Hong Kong, China;1. Department of Economics, University of North Carolina at Chapel Hill, USA;2. Department of Economics, University at Albany, 1400 Washington Avenue, Albany, NY 12222, USA |
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| Abstract: | This study employs a joint variance ratio test and technical trading rules to examine the random walk behavior for nine Asian foreign exchange rates for the period 1988–1995. The joint variance ratio test results suggest that there is little evidence of serial correlations in the daily exchange rate series. The results also indicate that, in general, the moving average and channel trading rules do not generate significant, positive profits. |
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