scholarly journals Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates

1997 ◽  
Vol 15 (1) ◽  
pp. 51 ◽  
Author(s):  
Wai Mun Fong ◽  
Seng Kee Koh ◽  
Sam Ouliaris
Keyword(s):  
Exchange Rates ◽  
Variance Ratio ◽  
Martingale Hypothesis

scholarly journals Empirical Testing Of Random Walk Of Euro Exchange Rates: Evidence From The Emerging Markets

2011 ◽  
Vol 4 (4) ◽  
Author(s):  
Osamah M. Al-Khazali ◽  
Evangelos P. Koumanakos
Keyword(s):  
Random Walk ◽  
Emerging Markets ◽  
Exchange Rates ◽  
Middle Eastern ◽  
Variance Ratio ◽  
Empirical Testing ◽  
North African ◽  
Random Walk Hypothesis ◽  
Non Parametric ◽  
Power Properties

This paper utilizes the new non-parametric variance ratio tests based on signs and ranks to examine the random walk hypothesis of Euro exchange rates for 10 Middle Eastern and North African (MENA) currencies.  The results of the new- variance ratio tests reject the random walk hypothesis for all currencies except the Kuwaiti and the Emirate currencies.  Given the improved size and power properties of Wright’s (2000) ranks and signs tests, the results of the new variance ratio tests are robust to the results of the traditional LOMAC variance ratio tests. 

Spectral tests of the martingale hypothesis for exchange rates

1995 ◽  
Vol 10 (3) ◽  
pp. 255-271 ◽  
Author(s):  
Wai Mun Fong ◽  
Sam Ouliaris
Keyword(s):  
Exchange Rates ◽  
Martingale Hypothesis

scholarly journals Revisiting the Martingale Hypothesis for Exchange Rates

2004 ◽  
Author(s):  
Young-Sook Lee ◽  
Tae-Hwan Kim ◽  
Paul Newbold
Keyword(s):  
Exchange Rates ◽  
Martingale Hypothesis

scholarly journals ARE MARKETS ADAPTIVE? EVIDENCE OF PREDICTABILITY AND MARKET EFFICIENCY OF LODGING/RESORT REITS

2020 ◽  
Vol 24 (2) ◽  
pp. 130-139 ◽  
Author(s):  
Fahad Almudhaf ◽  
Ramya Rajajagadeesan Aroul ◽  
J. Andrew Hansz
Keyword(s):  
Real Estate ◽  
Moving Average ◽  
Return Predictability ◽  
Spectral Shape ◽  
Time Varying ◽  
Variance Ratio ◽  
Real Estate Investment ◽  
Sharpe Ratios ◽  
Martingale Hypothesis ◽  
Rolling Windows

We investigate the degree of return predictability of lodging/resort real estate investment trusts (REITs) from January 1994 to May 2016. We test the Martingale hypothesis by using linear (automatic portmanteau and automatic variance ratio with rolling windows) and nonlinear tests (generalized spectral shape tests and Dominguez-Lobato consistent tests). Our findings support the Adaptive Market Hypothesis (AMH) and reveal that returns experience periods of both dependence and independence. We document time-varying predictability of lodging/resort REITs with returns as both initially predictable and subsequently unpredictable throughout the majority of the period of analysis. Moreover, we find that if traders use simple technical trading moving average rules, they can capitalize on the inefficiencies of lodging/resort REITs. Finally, we observe that absolute returns and Sharpe ratios of technical moving average rules outperform a simple buy-and-hold strategy.

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