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Do exchange rates follow random walks? A variance ratio test of the Zambian foreignexchange market
Southern African Business Review
View Archive Info| Field | Value | |
| Title |
Do exchange rates follow random walks? A variance ratio test of the Zambian foreignexchange market
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| Creator |
Mbululu, D
Auret, CJ Chiliba, L |
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| Subject |
variance ratio tests, random-walk hypothesis, exchange rates, marketefficiency
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| Description |
The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, particularly in developed economies. However, emerging markets in sub-Saharan Africa have received little attention in this regard. This study applies Lo and MacKinlay’s (1988) conventional variance ratio test and Wright’s (2000) non-parametric ranks- and signs-based variance ratio tests to examine the validity of the random-walk hypothesis in the Zambian foreign-exchange market. The study utilises daily nominal United States dollar/Zambian kwacha (USD/ZMK) exchange-rate returns for data from August 2003 to December 2012. Both types of variance ratio tests reject the random-walk hypothesis over the data span. The implication is that technical and fundamental analysis can help traders and other investors to earn higher-than-average market returns.Key words: variance ratio tests, random-walk hypothesis, exchange rates, marketefficiency
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| Publisher |
College of Economic and Management Sciences (UNISA)
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| Contributor |
—
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| Date |
2014-12-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.ajol.info/index.php/sabr/article/view/110915
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| Source |
Southern African Business Review; Vol 17, No 2 (2013); 45-66
1998-8125 1561-896X |
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| Language |
eng
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| Relation |
http://www.ajol.info/index.php/sabr/article/view/110915/100677
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| Rights |
Copyright to the journal content belongs to the College of Economic and Management Sciences
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