References
- Adler, M. and B. Lehmann (1983), "Deviations from Purchasing Power Parity in the Long Run", Journal of Finance, 38(5), 1471-1487. https://doi.org/10.1111/j.1540-6261.1983.tb03835.x
- Aroskar, R., S. K. Sarkar and P. E. Swanson (2004), "European Foreign Exchange Market Efficiency: Evidence based on Crisis and Non-crisis Periods", International Review of Financial Analysis, 13(3), 333-347. https://doi.org/10.1016/j.irfa.2004.02.011
- Azad, A. S. M. S. (2009), "Random Walk and Efficiency Tests in the Asia-Pacific Foreign Exchange Markets: Evidence from the Post-Asian Currency Crisis Data", Research in International Business and Finance, 23(3), 322-338. https://doi.org/10.1016/j.ribaf.2008.11.001
- Baillie, R. T. and D. D. Selover (1987), "Cointegration and Models of Exchange Rate Determination", International Journal of Forecasting, 3(1), 43-51. https://doi.org/10.1016/0169-2070(87)90077-X
- Bank for International Settlements (2019), "Triennial Central Bank Survey: Foreign Exchange Turnover in April 2019", Monetary and Economic Department: Bank for International Settlements (September).
- Bollerslev, T. (1986), "Generalized Autoregressive Conditional Heteroscedasticity", Journal of Econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
- Bollerslev, T. (1987), "A Conditionally Heteroscedastic Time Series Model for Speculative Prices and Rates of Return", Review of Economics and Statistics, 69(3), 542-547. https://doi.org/10.2307/1925546
- Box, G. E. P. and G. M. Jenkins (1970), Time Series Analysis: Forecasting and Control, San Francisco: Holden Day.
- Chang, Y. (2004), "A Re-Examination of Variance-Ratio Test of Random Walks in Foreign Exchange Rates", Applied Financial Economics, 14(9), 671-679. https://doi.org/10.1080/0960310042000233449
- Chen, A. S. and M. T. Leung, (2003), "A Bayesian Vector Error Correction Model for Forecasting Exchange Rates", Computers & Operations Research, 30(6), 887-900. https://doi.org/10.1016/S0305-0548(02)00041-2
- Chiang, S. M., Y. H. Lee, H. M. Su, and Y. P. Tzou (2010), "Efficiency Tests of Foreign Exchange Markets for Four Asian Countries", Research in International Business and Finance, 24(3), 284-294. https://doi.org/10.1016/j.ribaf.2010.01.001
- Chow, K. V. and K .C. Denning (1993), "A Simple Multiple Variance Ratio Test", Journal of Econometrics, 58(3), 385-401. https://doi.org/10.1016/0304-4076(93)90051-6
- Chu, C. S. J. and H. M. Lu (2006.), "Random Walk Hypothesis in Exchange Rate Reconsidered", Journal of Forecasting, 25(4), 275-290. https://doi.org/10.1002/for.988
- Coughlin, C. C. and K. Koedijk (1990), "What Do We Know about the Long-Run Real Exchange Rate?", Federal Reserve Bank of St. Louis Review, 72(1), 36-48.
- Darby, M. R. (1983), "Movements in Purchasing Power Parity: The Short and Long Runs", In NBER The International Transmission of Inflation by Michael R. Darby, James R. Lothian, Arthur E. Gandolfi, Anna J. Schwartz, and Alan C. Stockman, 462 - 477.
- Engle R. F. (1982), "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 50(4), 987-1007. https://doi.org/10.2307/1912773
- Fama, E. (1991) "Efficient Capital Markets II", Journal of Finance, 46(5) pp. 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
- Fuller, W. (1976), Introduction to Statistical Time Series, New York: Wiley.
- Godfrey, L. G. (1988), Specification Tests in Econometrics, Cambridge: Cambridge University Press..
- Haug, A. A. (1993), "Residual Based Tests for Cointegration: A Monte Carlo Study of Size Distortions", Economics Letters, 41(4), 345-351. https://doi.org/10.1016/0165-1765(93)90203-O
- Haug, A. A. (1996), "Tests for Cointegration: A Monte Carlo Comparison", Journal of Econometrics, 71(1-2), 89-115. https://doi.org/10.1016/0304-4076(94)01696-8
- Huizinga, J. (1987), "An Empirical Investigation of the Long-Run Behavior of Real Exchange Rates", In: Proceedings of the Carnegie-Rochester Conference Series on Public Policy, Autumn, 149- 214.
- Jeon, Bang-Nam and Byeongseon Seo (2003), "The Impact of The Asian financial Crisis on Foreign Exchange Market Efficiency: The Case of East Asian countries", Pacific-Basin Finance Journal, 11(4), 509-525. https://doi.org/10.1016/S0927-538X(03)00052-0
- Kennedy, P. (1996), A Guide to Econometrics (4th ed.), Oxford: Blackwell.
- Lee, C. I., M. S. Pan and Y. A. Liu (2001), "On Market Efficiency of Asian Foreign Exchange Rates: Evidence from a Joint Variance-Ratio Test and Technical Trading Rules" Journal of International Financial Markets Institutions and Money, 11(2), 199-214. https://doi.org/10.1016/S1042-4431(00)00050-0
- Liu, C. Y and J. He (1991), "A Variance-Ratio Test of Random Walks in Foreign Exchange Rates", Journal of Finance, 46 (2), 773-785 https://doi.org/10.1111/j.1540-6261.1991.tb02686.x
- Lo, A. W. and A. C. MacKinlay (1988), "Stock Market Prices Do not Follow Random Walks: Evidence from a Simple Specification Test", The Review of Financial Studies, 1(1), 41-66. https://doi.org/10.1093/rfs/1.1.41
- Lo, A. W. and A. C. MacKinlay (1989), "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation", Journal of Econometrics, 40(2), 203-238. https://doi.org/10.1016/0304-4076(89)90083-3
- Oh, Gabjin, Seunghwan Kim and Cheoljun Eom (2007), "Market Efficiency in Foreign Exchange Markets", Physica A: Statistical Mechanics and its Applications, 382(1), 209-212. https://doi.org/10.1016/j.physa.2007.02.032
- Phengpis, C. (2006), "Market Efficiency and Cointegration of Spot Exchange Rates during Periods of Economic Turmoil: Another Look at European and Asian Currency Crises", Journal of Economics and Business, 58(4), 323-342. https://doi.org/10.1016/j.jeconbus.2005.10.003
- Rahman, A. H. and S. Saadi (2007), "Is South Korea's Stock Market Efficient?", Applied Economics Letters, 14(1), pp. 71-74. https://doi.org/10.1080/13504850500425659
- Rappoport, P. and L. Reichlin (1989), "Segmented Trends and Non-Stationary Time Series", Economic Journal, 99(395), Supplement: Conference Papers, 168-177. https://doi.org/10.2307/2234078
- Salisu, A. A., T. F. Oloko and O. J. Oyewole (2016), "Testing for Martingale Difference Hypothesis with Structural Breaks: Evidence from Asia-Pcific Foreign Exchange Markets", Borsa Istanbul Review, 16(4), 210-218. https://doi.org/10.1016/j.bir.2016.09.001
- Seddighi, H. R. (2012), Introductory Econometrics: A Practical Approach, London: Routledge.
- Seddighi, H. R. and W. Nian (2004), "The Chinese Stock Exchange Market: Operations and Efficiency", Applied Financial Economics, 14(11), 785-797. https://doi.org/10.1080/0960310042000180826
- Smoluk, H. J., G. M. Vasconcellos and J. K. Kramer (1998), "Random Walks in the U.K. Pound/U.S. Dollar Exchange Rates", International Review of Financial Analysis, 7(1), 65-82. https://doi.org/10.1016/S1057-5219(99)80039-8
- Sweeney, R. J. (2006), "Mean Reversion in G-10 Nominal Exchange Rates", Journal of Financial and Quantitative Analysis, 41(3), 685-708. https://doi.org/10.1017/s0022109000002581
- Wright, J. H. (2000), "Alternative Variance-Ratio Tests Using Ranks and Signs", Journal of Business & Economic Statistics, 18(1), 1-9. https://doi.org/10.2307/1392131