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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/6111

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6111

Title:	A Re-examination of Variance-Ratio Test of Random Walks in Foreign Exchange Rates
Authors:	張元晨
Date:	2004
Issue Date:	2008-11-05 16:58:15 (UTC+8)
Abstract:	This paper employs a variance ratio test to reexamine the random walk hypothesis for the Canadian dollar, French franc, Deutsche mark, Japanese yen and British pound. In addition to standard normal test statistics, the bootstrap resampling technique is used to calculate the significance levels of variance ratio statistics over the period 7 August 1974 to 30 December 1998. The results provide evidence rejecting the random walk hypothesis for the Japanese yen over the entire sample, while the results for the other four currencies are inconclusive. Furthermore, subperiod results show that from 1989 onwards the random walk hypothesis cannot be rejected for the Canadian dollar, French franc, Deutsche mark, and British pound.
Relation:	Applied Financial Economics, 14, 671-679
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/0960310042000233449
DOI:	10.1080/0960310042000233449
Appears in Collections:	[財務管理學系] 期刊論文

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