政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/6111
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25772843      Online Users : 163
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://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 link: http://dx.doi.org/10.1080/0960310042000233449
    DOI: 10.1080/0960310042000233449
    Appears in Collections:[Department of Finance ] Periodical Articles

    Files in This Item:

    File SizeFormat
    3.pdf108KbAdobe PDF1081View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback