6533b858fe1ef96bd12b6c1f

RESEARCH PRODUCT

Some evidence of random walk behavior of Euro exchange rates using ranks and signs

Kwaku K. OpongJorge Belaire-franch

subject

Economics and EconometricsOrder (business)EconometricsEconomicsRandom walkFinanceVariance ratioTest (assessment)

description

Abstract This study utilises recently developed tests based on ranks and signs, in addition to the traditional variance ratio test, to examine the behavior of Euro exchange rates. We show that adjustments for multiple tests must be employed in order to avoid size distortions. Overall, such adjustments provide evidence consistent with random walk behavior of Euro exchange rates.

https://doi.org/10.1016/j.jbankfin.2004.06.031