Testing for Random Walk Behavior in CIVETS Exchange Rates

Almudhaf, F. (2014) “Testing for Random Walk Behavior in CIVETS exchange rates”, Applied Economics Letters, 21(1), 60-63.

Posted: 3 Sep 2020

See all articles by Fahad Almudhaf

Fahad Almudhaf

Kuwait University - Department of Finance and Financial Institutions

Date Written: 2014

Abstract

This article investigates the random walk behavior of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) foreign exchange rates against the US dollar using weekly data from February 2007 to April 2012. Using variance ratio tests, the results suggest that the nominal exchange rates of Vietnamese dong and Egyptian pounds violate the random walk hypothesis and do not follow a martingale process. However, the Colombian peso, Indonesian rupiah, Turkish lira and South African rand exchange rate markets are considered weak-form efficient.

Keywords: CIVETS, Random Walk, Market Efficiency, Exchange Rate, Emerging Markets, Variance Ratio

JEL Classification: F31, G14, G10

Suggested Citation

Almudhaf, Fahad, Testing for Random Walk Behavior in CIVETS Exchange Rates (2014). Almudhaf, F. (2014) “Testing for Random Walk Behavior in CIVETS exchange rates”, Applied Economics Letters, 21(1), 60-63. , Available at SSRN: https://ssrn.com/abstract=3660112

Fahad Almudhaf (Contact Author)

Kuwait University - Department of Finance and Financial Institutions ( email )

Kuwait

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