Testing random walk hypothesis in Turkish foreign exchange market
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Dosyalar
Tarih
2016
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
IGI global
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This chapter revisits the empirical validity of the weak-form efficient market hypothesis for Turkish foreign exchange markets. The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, particularly in developed economies. This chapter applies ADF and PP unit root test, Lo and MacKinlay’s (1988) conventional variance ratio test and Ljung-Box Q tests to examine the validity of the random-walk hypothesis in the Turkish foreign-exchange market. The chapter utilizes weekly nominal TRY/USD exchange rate for data from January 2000 to December 2013. The results provide evidence rejecting the random walk hypothesis for weekly nominal exchange rate series. © 2016 by IGI Global.
Açıklama
Anahtar Kelimeler
Kaynak
International Business: Concepts, Methodologies, Tools, and Applications
