TY - JOUR
T1 - Are exchange rates serially correlated? New evidence from the Euro FX markets
AU - Cheung, Adrian
AU - Su, Jen-je
AU - Choo, Astrophel
PY - 2012/1
Y1 - 2012/1
N2 - This paper examines the serial uncorrelatedness hypothesis in the Euro FX markets by testing for autocorrelation in daily FX returns of 82 countries over the period of 1999-2010. We use three newly developed tests that are robust to conditional heteroskedasticity of unknown forms and that do not choose a lag parameter arbitrarily. They are Escanciano & Lobato (2009)'s automatic Box-Pierce Q p test, Nankervis & Savin (2010)'s generalized Andrews-Ploberger test and Deo (2000)'s robust Durlauf test. We find no significant autocorrelation in the FX returns of around 58 to 62 countries, suggesting that majority of the Euro FX markets are weak-form efficient.
AB - This paper examines the serial uncorrelatedness hypothesis in the Euro FX markets by testing for autocorrelation in daily FX returns of 82 countries over the period of 1999-2010. We use three newly developed tests that are robust to conditional heteroskedasticity of unknown forms and that do not choose a lag parameter arbitrarily. They are Escanciano & Lobato (2009)'s automatic Box-Pierce Q p test, Nankervis & Savin (2010)'s generalized Andrews-Ploberger test and Deo (2000)'s robust Durlauf test. We find no significant autocorrelation in the FX returns of around 58 to 62 countries, suggesting that majority of the Euro FX markets are weak-form efficient.
KW - Euro exchange rate markets
KW - Market efficiency
KW - Serial uncorrelatedness
UR - https://doi.org/10.1016/j.rfe.2011.12.001
UR - http://www.scopus.com/inward/record.url?scp=84856637596&partnerID=8YFLogxK
U2 - 10.1016/j.rfe.2011.12.001
DO - 10.1016/j.rfe.2011.12.001
M3 - Article
SN - 1058-3300
VL - 21
SP - 14
EP - 20
JO - Review of Financial Economics
JF - Review of Financial Economics
IS - 1
ER -