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Random Walks in Daily Foreign Exchange Rates? The Case of Lebanon (2010-2015)
Applied Economics and Finance
View Archive Info| Field | Value | |
| Title |
Random Walks in Daily Foreign Exchange Rates? The Case of Lebanon (2010-2015)
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| Creator |
Azar, Samih Antoine
Kohilian, Tamar |
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| Description |
In most of the academic literature on asset prices, like equities or foreign exchange, the words weak-form efficiency and random walk are used interchangeably. This paper makes a distinction between these two concepts. Weak-form efficiency holds when price increments are independent and random. A random walk is more stringent: it requires that the probability distribution of price increments be identical and normal, in addition of being independent. As expected the null hypothesis of a random walk is rejected with force while the null of weak-form efficiency is not. This implies that linear filter rules, chartism, and technical analysis cannot produce abnormal profits. But this implies also that non-linear filter rules, chartism, and technical analysis can be profitable. This explains the reality of finding departments of technical analysis in most Lebanese banks. If the market experience of Lebanon is generalized to other countries this would explain why international banks also have such departments.
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| Publisher |
Redfame Publishing
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| Contributor |
—
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| Date |
2015-07-21
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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://redfame.com/journal/index.php/aef/article/view/927
10.11114/aef.v2i3.927 |
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| Source |
Applied Economics and Finance; Vol 2, No 3 (2015); 119-126
2332-7308 2332-7294 |
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| Language |
eng
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| Relation |
http://redfame.com/journal/index.php/aef/article/view/927/900
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