Title

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 Department

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

Print

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

This document is currently not available here.

Share

COinS