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Is the dollar/ECU exchange rate a random walk?

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Author Info

  • Paul Newbold
  • Toni Rayner
  • Neil Kellard
  • Christine Ennew
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    Abstract

    Monthly data on the $US/ECU exchange rate are analysed in light of the random walk hypothesis. A battery of tests, including procedures that are robust to conditional heteroscedasticity, are applied against linear alternatives to departures from the random walk. These tests are all based on the sample autocorrelations of the series of first differences of the logarithm of the monthly exchange rate. They were applied to the full sample of available data, and also to a subsample consisting of the most recent observations. On the whole, these tests provided just modest evidence against the random walk hypothesis.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332583
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 8 (1998)
    Issue (Month): 6 ()
    Pages: 553-558

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    Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:553-558

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    Cited by:
    1. Chuluun, Tuugi & Eun, Cheol S. & KiliƧ, Rehim, 2011. "Investment intensity of currencies and the random walk hypothesis: Cross-currency evidence," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 372-387, February.
    2. Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
    3. Dietmar Janetzko, 2014. "Using Twitter to Model the EUR/USD Exchange Rate," Papers 1402.1624, arXiv.org.

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