Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

On Exchange Rate Predictability and Adaptive Market Hypothesis in South Africa

On Exchange Rate Predictability and Adaptive Market Hypothesis in South Africa This study sets out to explore the predictability of global foreign exchange rates vis-à-vis the South African rand using daily nominal exchange rates from January 2010 to February 2018. The estimation techniques include automatic portmanteau test, wild bootstrap variance ratio test, Dominguez–Lobato test for martingale difference hypothesis, and generalized spectral tests. We investigate the time-varying predictability by employing the fixed-length rolling window approach. The full sample results indicate significant predictability of some exchange rates while some suggest no predictability. The rolling window approach established that all the foreign exchange markets go through episodes of significant predictability and episodes of unpredictability. The currency investment space is dynamic and that makes it imperative for market participants to be adaptable. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal Of African Business Taylor & Francis

On Exchange Rate Predictability and Adaptive Market Hypothesis in South Africa

Download PDF

On Exchange Rate Predictability and Adaptive Market Hypothesis in South Africa

Abstract

This study sets out to explore the predictability of global foreign exchange rates vis-à-vis the South African rand using daily nominal exchange rates from January 2010 to February 2018. The estimation techniques include automatic portmanteau test, wild bootstrap variance ratio test, Dominguez–Lobato test for martingale difference hypothesis, and generalized spectral tests. We investigate the time-varying predictability by employing the fixed-length rolling window approach. The...
Loading next page...
 
/lp/taylor-francis/on-exchange-rate-predictability-and-adaptive-market-hypothesis-in-mddoZxWf1U
Publisher
Taylor & Francis
Copyright
© 2021 Informa UK Limited, trading as Taylor & Francis Group
ISSN
1522-9076
eISSN
1522-8916
DOI
10.1080/15228916.2021.1975488
Publisher site
See Article on Publisher Site

Abstract

This study sets out to explore the predictability of global foreign exchange rates vis-à-vis the South African rand using daily nominal exchange rates from January 2010 to February 2018. The estimation techniques include automatic portmanteau test, wild bootstrap variance ratio test, Dominguez–Lobato test for martingale difference hypothesis, and generalized spectral tests. We investigate the time-varying predictability by employing the fixed-length rolling window approach. The full sample results indicate significant predictability of some exchange rates while some suggest no predictability. The rolling window approach established that all the foreign exchange markets go through episodes of significant predictability and episodes of unpredictability. The currency investment space is dynamic and that makes it imperative for market participants to be adaptable.

Journal

Journal Of African Business – Taylor & Francis

Published: Oct 2, 2022

Keywords: Exchange rates; adaptive market hypothesis; market efficiency; return predictability; martingale difference; South Africa

References

  • On the causes and effects of exchange rate volatility on economic growth: Evidence from Ghana
  • Are exchange rate movements predictable in Asia-Pacific markets? Evidence of random walk and martingale difference processes
  • Commodity prices and exchange rate volatility: Lessons from South Africa’s capital account liberalization
  • On time-varying predictability of emerging stock market returns. Emerging Markets Review, 27, 1–13
  • Triennial central bank survey foreign exchange turnover in April 2013: Preliminary global results
  • South Africa rand slumps to record low after moody’s cut to junk
  • High-frequency exchange rate forecasting
  • The econometrics of financial markets
  • Small sample properties of alternative tests for martingale difference hypothesis
  • Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates
  • Will precious metals shine? A market efficiency perspective
  • A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates
  • Testing the random walk hypothesis for real exchange rates
  • Can we beat the random-walk model for the South African rand–U.S. dollar and South African rand–UK pound exchange rates? Evidence from dynamic model averaging
  • Spectral tests of the martingale hypothesis under conditional heteroscedasticity
  • Testing the martingale difference hypothesis
  • An automatic portmanteau test for serial correlation
  • Generalized spectral tests for the martingale difference hypothesis
  • Efficient capital markets: A review of theory and empirical work
  • Efficient capital markets: II
  • The high-frequency response of the rand-dollar rate to inflation surprises
  • Macroeconomic news surprises and the rand/dollar exchange rate
  • Macroeconomic news and the euro/dollar exchange rate
  • On the impossibility of informationally efficient markets
  • Macroeconomic surprises and stock returns in South Africa
  • The sensitivity of long-term interest rates to economic news: Evidence and implications for macroeconomic models
  • adaptive market hypothesis: Evidence from the Ghanaian stock market
  • Speculative flows, exchange rate volatility, and monetary policy: The South African experience
  • Stock returns predictability and the adaptive market hypothesis in emerging markets: Evidence from India
  • Hypothesis testing in time series via the empirical characteristic function: A generalized spectral density approach
  • Inference on predictability of foreign exchange rate changes via generalized spectrum and nonlinear time series models
  • Adaptive market hypothesis and evolving predictability of bitcoin. Economics Letters, 167, 26–28
  • Is the foreign exchange market efficiency adaptive? The empirical evidence from India
  • Automatic variance ratio test under conditional heteroskedascity
  • Stock return predictability and the adaptive markets hypothesis: Evidence from century-long US data
  • A new test of the martingale difference hypothesis
  • market efficiency in indian exchange rates: Adaptive market hypothesis
  • Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets
  • Ranking of market efficiency for stock markets: A nonlinear perspective
  • The evolution of stock market efficiency over time: A survey of the empirical literature
  • The adaptive markets hypothesis: Market efficiency from an evolutionary perspective
  • Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis
  • Testing for autocorrelation using a modified box-pierce Q test
  • Testing for zero autocorrelation in the presence of statistical dependence
  • Impact of macroeconomic announcements on foreign exchange volatility: Evidence from South Africa
  • The determinants of exchange rate volatility in South Africa
  • Exchange rate volatility, political and macroeconomic events in South Africa
  • A new unit root test with two structural breaks in level and slope at unknown time
  • Size and power properties of structural break unit root tests
  • Does data frequency matter for the impact of forward premium on spot exchange rate? International Review of Financial Analysis
  • Interdependence of major exchange rates in Ghana: A wavelet coherence analysis
  • Foreign exchange market prediction with multiple classifiers
  • Hedge fund performance and higher-moment market models
  • Testing the martingale difference hypothesis (MDH) with structural breaks: Evidence from foreign exchanges of Nigeria and South Africa
  • Risk, uncertainty and exchange rate behaviour in South Africa
  • The spillover effect of the US uncertainty on emerging economies: A panel VAR approach
  • The inefficiency of Bitcoin. Economics Letters, 148, 80–82
  • How predictable are precious metal returns?
  • Efficient or adaptive markets? Evidence from major stock markets using very long run historic data
  • Are stock markets really efficient? Evidence of the adaptive market hypothesis
  • Price and volatility spillovers between stock prices and exchange rates: Empirical evidence from the G-7 countries
  • A comparative analysis of currency volatility among BRICS countries
  • Adaptive market hypothesis: Evidence from the REIT market