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    Are exchange rates serially correlated?: New evidence from the Euro FX markets

    Access Status
    Fulltext not available
    Authors
    Cheung, Adrian
    Su, J.
    Choo, A.K.
    Date
    2012
    Type
    Journal Article
    
    Metadata
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    Citation
    Cheung, Adrian Wai-Kong and Su, Jen-Je and Choo, Astrophel Kim. 2012. Are exchange rates serially correlated?: New evidence from the Euro FX markets. Review of Financial Economics. 21 (1): pp. 14-20.
    Source Title
    Review of Financial Economics
    DOI
    10.1016/j.rfe.2011.12.001
    ISSN
    1058-3300
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/5380
    Collection
    • Curtin Research Publications
    Abstract

    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 Qp 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.

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