A guide on the univariate tests on the weak form efficiency applied to the foreign exchange market
Date of Publication
2009
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Commerce Major in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Andrew Adrian Yu Pua
Defense Panel Member
Gerardo L. Largoza
Lawrence B. Dacuycuy
Abstract/Summary
This paper provides a guide in testing the weak form efficient market hypothesis applied to foreign exchange markets evidence by the presence of a martingale or random walk property. Various econometric models would be explained along with their respective limitations or issues. The various univariate tests are categorized into three classifications namely: autocorrelation tests, unit root tests and variance ratio test. The paper would also present a formal testing of the different univariate tests. This could help the readers understand the different tests and interpret their results. This paper would use the updated dataset of Baillie and Bollerslev which would include five bilateral exchange rates: French franc (FRF), Japanese yen (JPY), US dollar (USD) and British pound (GBP) with respect to the Philippine peso (PHP) for the years 1995 to 2008.
Abstract Format
html
Language
English
Format
Accession Number
TU21637
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
411 leaves : illustrations (some color)
Keywords
Foreign exchange market
Recommended Citation
Bulang, D. K., Dizon, R. G., Rocafor, E. C., & Yu, R. C. (2009). A guide on the univariate tests on the weak form efficiency applied to the foreign exchange market. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18414