بررسی کارایی بازار فارکس بر اساس تجزیه و تحلیل نوسانات : مطالعه موردی ایران

The efficient market hypothesis (EMH) states that asset prices fully reflect all available information. As a result, speculators cannot predict the future behavior of asset prices and earn excess profits at least after adjusting for risk. Although initial tests of the EMH were performed on stock market data, the EMH was soon applied to other markets including foreign exchange (FX). This study uses the detrended fluctuation analysis (DFA) technique to test 01:12:2005–18:04:2010 Iranian Rial/US Dollar exchange rate time series data to see if it can be explained by the weak form of the EMH. Moreover, to determine changes in the degree of inefficiency over time, the whole period has been divided into four subperiods. The study shows that the Iranian Forex market (the Rial/Dollar case) is weak-form inefficient over the whole period and in each of the subperiods. However, the degree of inefficiency is not constant over time. The findings suggest that profitable risk-adjusted trades could be made using past data.

The efficient market hypothesis (EMH) originally introduced by Fama [1] is concerned with the behavior of prices in asset markets, and it states that prices fully reflect all available information. To be more precise, this hypothesis focuses on informational efficiency [2]. In an informationally efficient market, changes in asset prices will occur in response to news which cannot be predicted in any systematic manner. In other words, asset prices respond only to the unexpected part of any news, since the expected part of the news is already embedded in prices, and so more profit without higher risk is impossible [3]. The analysis of foreign exchange market efficiency has been considered in the international finance literature over three decades. The question of currency market efficiency is important. Exchange rates have a penetrating effect on all other prices. If the currency market is inefficient, currencies are often incorrectly priced. This distortion will spread over all other markets, and it causes misallocation of resources that leads eventually to welfare losses. On the other hand, inefficiency in currency markets can lead to excessive exchange rate volatility. Exchange rate volatility is inevitable when rates float, but excess exchange rate volatility increases the exchange rate risk and may decrease the flow of trade and investment [4]. The structure of this paper is as follows. Section 2 reviews the literature. Section 3 provides the data and the methodology of the research. Section 4 presents an estimation along with some discussion. Finally, the paper ends with the conclusions in Section 5.

The efficient market hypothesis (EMH) states that prices fully reflect all available information. Examination of foreign exchange market efficiency has been a debated issue within international finance literature over three decades. Whether currency markets are efficient or not is an important question, since exchange rates have a penetrating effect on all other prices. In this paper, we have investigated the validity of the weak-form EMH for Iranian Rial/US Dollar Daily Forex exchange rate time series from 01:12:2005 to 18:04:2010 using the DFA technique. Low barriers to entry, generally no commission, high leverage, and free trading tools make the Forex market attractive for traders. Our results suggest negative long-range dependence (anti-persistence). This means that, whenever the exchange rate has been up, it is more likely that it will be down in the close future. Therefore, the Rial/Dollar daily Forex exchange rate is inefficient, implying that it should be possible for speculators to extract risk-free profits by studying past Rial/Dollar series. In this case, one may suggest that a central bank can play the role of informed traders, especially in an oil-exporting country like Iran in which the bulk of foreign currency reserves are held in a central bank. In this way, the Iranian central bank could act as a stabilizing speculator, earn profits from such deviations, and lead the market to efficiency. Finally, we have divided the whole period into four subperiods (01:12:2005–04:1:2007, 04:01:2007–08:02:2008, 08:02:2008–14:03:2009, and 14:03:2009–18:04:2010) to identify changes in inefficiency over time. According to our calculations, the inefficiency was very high in the first subperiod (α=0.07α=0.07). The market became less inefficient in the second subperiod (α=0.34α=0.34). The inefficiency in the third subperiod was small (α=0.45α=0.45), but it increased again in the last subperiod (α=0.21α=0.21). Hence, one can conclude that the Iranian Forex market (the Rial/Dollar case) is weak-form inefficient not only in the first subperiod but also in the other three subperiods as well as over the whole period.