Martingale Difference Hypothesis in Asia – Pacific Foreign Exchange Market

Sankarkumar Amirdhavasani, Murugesan Selvam, Marxia Oli Sigo, Amrutha Pavithran and Chinnadurai Kathiravan, Martingale Difference Hypothesis in Asia – Pacific Foreign Exchange Market, International Journal of Management, 11 (3), 2020, pp. 633–641

Posted: 4 Sep 2020

See all articles by Murugesan Selvam

Murugesan Selvam

Department of Commerce and Financial Studies, Bharathidasan University

Date Written: July 1, 2020

Abstract

This study examines whether the Asia – Pacific Foreign Exchange Market was in a weak form of efficiency against USD, during the period from 02/01/2010 to 31/12/2019. This study employed various linear measures, to examine the martingale behaviour of Asia – Pacific Foreign Exchange Market. The analysis found that two currencies (Australian Dollar and Chinese Renminbi), out of ten currencies, rejected MDH and behavior patterns of those two currencies were more unpredictable than other sample currencies during the study period. It was found that majority of sample currencies, including Singapore Dollar, had fallen under the weak form of efficiency.

Keywords: Exchange Rate, Martingale Difference Hypothesis, Asia – Pacific FOREX Market

JEL Classification: F31, G14, C12

Suggested Citation

Selvam, Murugesan, Martingale Difference Hypothesis in Asia – Pacific Foreign Exchange Market (July 1, 2020). Sankarkumar Amirdhavasani, Murugesan Selvam, Marxia Oli Sigo, Amrutha Pavithran and Chinnadurai Kathiravan, Martingale Difference Hypothesis in Asia – Pacific Foreign Exchange Market, International Journal of Management, 11 (3), 2020, pp. 633–641, Available at SSRN: https://ssrn.com/abstract=3640064

Murugesan Selvam (Contact Author)

Department of Commerce and Financial Studies, Bharathidasan University ( email )

Tiruchirappalli
Tamil Nadu
India

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