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
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: Suggested Citation
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