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

Print

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

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