The Impact of Rand/US Dollar Exchange Rate Volatility on the Performance of Futures Markets for Agricultural Commodities
AbstractThis paper investigates the forecasting power of stock prices using two methods, namely, the random walk and the non-parametric methods. Using daily prices of the FTSE/JSE All Share index it is found that non-parametric methodology reveals distributional behaviour in the time series that is not captured by the random walk model. Based on the out-of-sample predicted mean square error, the F-test for two variances (those of both the observed series and the predicted one) and the bootstrap confidence interval and volatility, this method predicts the future behaviour of stock prices more accurately than the traditional random walk model has done.
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Bibliographic InfoArticle provided by Africagrowth Institute in its journal African Finance Journal.
Volume (Year): 13 (2011)
Issue (Month): 1 ()
Exchange rate volatility; futures market; EMH; GARCH; bootstrapping technique;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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