Evidence of adaptive markets hypothesis in the foreign exchange market using the USD/Php exchange rate from 1979-2013
Date of Publication
2014
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Management of Financial Institutions
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Robert Dan Roces
Defense Panel Chair
James Chan
Defense Panel Member
Michael Manalang
Abstract/Summary
This research tested the validity of the adaptive markets hypothesis (AMH), a new theory proposed by Professor Andrew Lo in 2004 as a possible alternative to the efficient market hypothesis (EMH) in the foreign exchange market using the USD/Php exchange rate from 1979-2013. The Martingale difference hypothesis (MDH) has been used to test whether this specific exchange rate conforms to the adaptive markets hypothesis. Of the different MDH test variants, the variance ratio test (Lo & MacKinlay, 1998) and its modern modification the wild bootstrapped AVR test (Kim, 2009) were used. The findings of this research proved that the adaptive markets hypothesis had been accepted in relation to the USD/Php exchange rate from 1979-2013.
Abstract Format
html
Language
English
Format
Accession Number
TU21574
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
100 leaves : illustrations (some color) ; 29 cm.
Keywords
Foreign exchange rates--Philippines
Recommended Citation
Alejo, B., Bianca Cai, J., Chua, S., & Dilla, C. (2014). Evidence of adaptive markets hypothesis in the foreign exchange market using the USD/Php exchange rate from 1979-2013. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/7757
