Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates

2019 ◽  
Vol 64 ◽  
pp. 273-281 ◽  
Author(s):  
Zheng Nan ◽  
Taisei Kaizoji
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Market Efficiency ◽  
Foreign Exchange ◽  
Strong Form ◽  
Foreign Exchange Rates

scholarly journals Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria

2021 ◽  
Vol 3 (3) ◽  
pp. 31-44
Author(s):  
Nenubari Ikue John ◽  
Emeka Nkoro ◽  
Jeremiah Anietie
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
External Information ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Crude Oil Prices

There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis.  The results revealed an insignificant dynamic long-term response of the exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

An Application of Genetic Programming to Forecasting Foreign Exchange Rates

2010 ◽  
pp. 26-48
Author(s):  
Muneer Buckley ◽  
Zbigniew Michalewicz ◽  
Ralf Zurbruegg
Keyword(s):  
Exchange Rate ◽  
Genetic Programming ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Economic Model ◽  
Dynamic Environments ◽  
Foreign Exchange Rates ◽  
Better Than ◽  
Made In

There is a great need for accurate predictions of foreign exchange rates. Many industries participate in foreign exchange scenarios with little idea where the exchange rate is moving, and what the optimum decision to make at any given time is. Although current economic models do exist for this purpose, improvements could be made in both their flexibility and adaptability. This provides much room for models that do not suffer from such constraints. This chapter proposes the use of a genetic program (GP) to predict future foreign exchange rates. The GP is an extension of the DyFor GP tailored for forecasting in dynamic environments. The GP is tested on the Australian / US (AUD/USD) exchange rate and compared against a basic economic model. The results show that the system has potential in forecasting long term values, and may do so better than established models. Further improvements are also suggested.

scholarly journals The Dynamics of Philippine Foreign Exchange Rates (2013-2017): A Test for Chaos

2019 ◽  
Vol 8 (11) ◽  
pp. 486-489
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Lyapunov Exponent ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Chaotic Behavior ◽  
The Philippines ◽  
Series Data ◽  
Largest Lyapunov Exponent ◽  
Foreign Exchange Rates

In most studies on dynamics of time series financial data, the absence of chaotic behavior is generally observed. However, this theory is not yet established in the dynamics of foreign exchange rates. Conflicting claims of presence and absence of chaos in foreign exchange rates open door for further investigation considering various deterministic factors. This work examines the dynamics of exchange rate of the Philippine Peso against selected foreign currencies. Time series data were collected for eight (8) of Philippine’s top trading partners as categorized according to economic condition. The data obtained with permission from the Central Bank of the Philippines covered the years 2013 to 2017. Data sets were plotted revealing non-linear movement of Philippine exchange rates against time. The foreign exchange rate time series obtained per currency were examined for chaotic behavior by computing the Largest Lyapunov Exponents (LLE). A positive Lyapunov exponent is an indication of sensitivity dependence, i.e, a chaotic dynamics; whereas, a negative Lyapunov exponent indicates otherwise. Computed LLE’s varied per currency but all were found to be negative. Therefore, using the Largest Lyapunov Exponent Test (LLE), analysis of the time series of Philippine foreign exchange rates shows little evidence of chaotic patterns.

scholarly journals Market Efficiency of Exchange Rate of Bitcoin with Dollar and Rupiah of Foreign Exchange Markets: Weak and Semi-Strong Form Test

2021 ◽  
Vol 21 (2) ◽  
pp. 152
Author(s):  
Valenchya Kristina Umardi ◽  
Rizal Nora Amelda
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Market Efficiency ◽  
Unit Root ◽  
Foreign Currency ◽  
Weak Form ◽  
Strong Form ◽  
High Rate ◽  
The Us ◽  
Us Dollar

Bitcoin is one of the cryptocurrencies that had a high rate of return since its appearance in 2009. However, the exchange rate of Bitcoin against any foreign currency is considered to have high volatility making it difficult to determine the real value of Bitcoin. The main purpose of this research is to find the value of Bitcoin, especially US Dollar and Rupiah currencies. The test is carried out using the weak market efficiency hypothesis and the semi-form market coefficient hypothesis. The data processing methods are used the stationary test (ADF, KPSS, and ERS) to test the efficiency of the weak form market and the cointegration test (Johansen Cointegration) with the VECM model to check the efficiency of the semi-strong market. The results show that the Bitcoin exchange rate does not have a unit root so it is inefficient in a weak form and has a negative effect on the USD / IDR exchange rate so that it is not efficient in semi-strong form as well as on the US Dollar and Rupiah exchange rates. This happens because Bitcoin transactions as a medium of exchange in Indonesia are still illegal. So that the Bitcoin exchange rate against the US Dollar and Rupiah exchange rates is biased because it does not reflect the available information, both historical information and public information. Keywords—Bitcoin Exchange Rate; Market Efficiency; Unit Root; Cointegration

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