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Testing for random walk behaviour in CIVETS exchange rates

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  • Fahad Almudhaf

Abstract

This article investigates the random walk behaviour 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.

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  • Fahad Almudhaf, 2014. "Testing for random walk behaviour in CIVETS exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 21(1), pages 60-63, January.
    • Handle: RePEc:taf:apeclt:v:21:y:2014:i:1:p:60-63
    DOI: 10.1080/13504851.2013.839856
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