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The random-walk behavior of the Euro exchange rate

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  • Chortareas, Georgios
  • Jiang, Ying
  • Nankervis, John C.

Abstract

We use Generalized Andrews-Ploberger (GAP) tests to examine the random-walk behavior of 17 OECD countries' euro exchange rates at daily frequencies. The GAP tests reject the hypothesis of random-walk behavior less often than do traditional tests. Moreover, the random-walk hypothesis cannot be rejected for the euro's exchange rate against most of the major currencies. We also use the generalized Box-Pierce tests to produce evidence that corroborates the above findings. Finally, and in contrast to the traditional tests, the GAP tests produce results that are consistent during the great moderation and the recent global financial crisis periods.

Suggested Citation

  • Chortareas, Georgios & Jiang, Ying & Nankervis, John C., 2011. "The random-walk behavior of the Euro exchange rate," Finance Research Letters, Elsevier, vol. 8(3), pages 158-162, September.
    • Handle: RePEc:eee:finlet:v:8:y:2011:i:3:p:158-162
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    References listed on IDEAS

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    Cited by:

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    2. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012. "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1607-1626.
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    4. Adrian Wai-Kong Cheung & Jen-Je Su & Astrophel Kim Choo, 2011. "Are Euro exchange rates markets efficient? New evidence from a large panel," Discussion Papers in Finance finance:201109, Griffith University, Department of Accounting, Finance and Economics.
    5. Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Bekiros, Stelios & Rehman, Mobeen Ur, 2018. "Risk transmitters and receivers in global currency markets," Finance Research Letters, Elsevier, vol. 25(C), pages 1-9.
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    8. Yang, Yan-Hong & Shao, Ying-Hui & Shao, Hao-Lin & Stanley, H. Eugene, 2019. "Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 734-746.

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