آزمون های بهره وری بازارهای ارز خارجی برای چهار کشور آسیایی
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|4181||2010||11 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Research in International Business and Finance, Volume 24, Issue 3, September 2010, Pages 284–294
This paper uses the traditional variance ratio test of Lo and MacKinlay (1988, 1989), the non-parametric-based variance ratio test of Wright (2000) and the multiple-variance ratio test of Chow and Denning (1993), to re-examine the validity of the weak form efficient market hypothesis for foreign exchange markets in four floating-rate markets in neighboring Asian economies (Japan, South Korea, Taiwan and the Philippines). The results show that the random walk patterns of the exchange rate return series cannot be rejected, with the one exception of Taiwan, where inefficiency is shown to be most prominent. We therefore conclude that the foreign exchange markets of Japan, South Korea and the Philippines are weak form efficient, while the foreign exchange market of Taiwan is inefficient.
There is an abundance of prior studies in which the behavior of asset prices has been examined. One method of testing for weak form market efficiency has been to determine whether the behavior of asset prices follows a random walk pattern; with the random walk hypothesis contending that consecutive price changes in an efficient market are irregular. However, if the series of asset prices exhibit mean reversion, then the prices are regarded as being serially correlated, and it is therefore feasible to forecast their behavior in the long run. Belaire-Franch and Opong (2002) noted that if asset returns could be modeled, this would suggest that stock returns may also be predicted. Clearly, such information would be extremely valuable to investors, academics and regulators; consequently, an understanding of the behavior of asset prices and how empirically accurate, within the markets, the random walk hypothesis may be, are of considerable importance to a number of interrelated groups.1 A substantial number of academic studies have emerged over recent years in which advanced modeling techniques have been used to examine the behavior of financial markets (Liu and He, 1991, Lee and Ike, 1999, Wright, 2000 and Belaire-Franch and Opong, 2005). Although, in the majority of these studies, the results have shown that financial markets are inefficient (with their price series usually exhibiting mean reversion), the findings on the weak form efficient market hypothesis generally remain inconclusive. Furthermore, only in a very few studies, of which we are aware, has there been any investigation of the efficiency of foreign exchange markets in Asian economies, particularly those with floating exchange rate systems.2 Within those studies where an investigation of market efficiency has been undertaken on emerging markets, the focus has generally been on the stock market (Darrat and Zong, 2000, Cheung and Coutts, 2001, Poshakwale, 2002, Worthington and Higgs, 2003, Lima and Tabak, 2004, Ainul and Mohammed, 2005, Füss, 2005, Hoque et al., 2007 and Al-Khazali et al., 2007). In addition, some studies of exchange rate efficiency in the Australasian region are also debated recently. A general list of prior studies is presented in Table 1. The controversial and mixed results in the literature have referred to alternative testing methods, different data periods, and dissimilar frequencies of data (for example, Olekalns and Wilkins, 1998, Henry and Olekalns, 2002, Jeon and Seo, 2003, Oh et al., 2007 and Sohel Azad, 2009). Thus, determining which financial market is more efficient is of importance when markets seem to exhibit the same efficiency or inefficiency levels under various tests. The purpose of this paper is therefore to contribute to this important topic by examining the behavior of four countries in Asia with floating exchange rates.A floating exchange rate, or a flexible exchange rate, is a type of exchange rate regime within which a currency's value is allowed to fluctuate according to the foreign exchange market. Within such systems, it would be unusual for the central bank to frequently intervene to stabilize the currency. Consequently, in a country with a floating exchange rate system, the foreign exchange market should be efficient; that is, the foreign exchange rate series will exhibit a random walk pattern. What we aim to determine here, however, is what the situation is in reality. We examine this question with regard to four Asian economies, Japan, South Korea, Taiwan and the Philippines, with the foreign exchange markets in these countries providing us, for a number of reasons, with an excellent opportunity to study efficiency. First of all, their exchange rates are free floating, as defined and published by the International Monetary Fund (IMF). In particular, the foreign exchange markets are of exceptional importance to economic policy within these economies since they are all oriented towards export trade.3 In addition, Chen et al. (2006) point out that the movements of exchange rates have major impacts on foreign direct investments. Specifically, after the Asian currency crisis, the impacts of capital flows, economic or uneconomic factors and exchange rate stabilization (Krongkaew, 1999, Ariff and Abubakar, 1999 and Kunimune, 1999) on foreign exchange markets attract more mass population's attention. Even more, the nearby currency crisis in Argentinean show that the exchange rate regime plays a significant role in economics (Alvarez-Plata and Schrooten, 2006). We can see, therefore, above results show that an efficient foreign exchange market is important. Secondly, with the exception of Japan, the greatest economic system of the four economies examined, the uncertainty stemming from non-economic impact on the foreign exchange markets (such as general elections, strikes, and so on) is also significant for these countries. Accordingly, their exchange rates are susceptible to fluctuation; hence, the reason for our examination of the efficiency of the foreign exchange markets for these developed and developing Asian economies. An understanding of efficiency within these four economies will not only help investors to appraise their risk, but it should also help them to devise adequate investment and hedging policies capable of responding to changes in the foreign exchange market. In those studies in which an examination of the random walk hypothesis was undertaken with regard to financial markets, variance ratio tests (Lo and MacKinlay, 1988 and Lo and MacKinlay, 1989) have been the most widely used design; however, the traditional tests do suffer from inherent limitations.4 According to Wright (2000), when testing the random walk hypothesis in foreign exchange markets, non-parametric-based tests (variance ratio tests with ranks and signs) are more effective than the traditional variance ratio test proposed by Lo and MacKinlay, 1988 and Lo and MacKinlay, 1989. Nevertheless, since the results of both the Lo and MacKinlay, 1988 and Lo and MacKinlay, 1989 and Wright (2000) tests tend to provide inconsistent conclusions for different sampling periods, we adopt the multiple-variance ratio test of Chow and Denning (1993) to adjust the individual variance ratio tests during a specific interval, so as to cover all possible intervals, a method more in accordance with the random walk hypothesis. We therefore apply the traditional variance ratio test to initially assess efficiency within the four Asian floating exchange rate economies. Thereafter, in order to ensure a thorough comparison of efficiency levels, we apply the non-parametric-based and multiple-variance ratio tests to examine the behavior of the foreign exchange rate series. When attempting to use the whole sample periods in our analysis, it is quite difficult to determine which periods are efficient or inefficient. Therefore, in order to avoid the uncertainty of ‘canceling out’ created by information in the long run, and so as to assess which foreign exchange market is comparatively efficient, we use a fixed-sized rolling window of 250 observations, applying both the non-parametric-based and variance ratio tests to compute and compare the ratio of efficiency for each country during the whole sample period. This study represents the first of its kind to undertake a comparison of efficiency levels by increasing the power of the tests amongst the four countries examined. The results demonstrate that of these four Asian economies, Taiwan is the most inefficient. As regards the foreign exchange markets of Japan, South Korea and the Philippines, the same conclusion is drawn from all three testing methods, that they are weak form efficient. We surmise that in an attempt to maintain economic development and stability in the financial market, the government and the central bank in Taiwan are regularly intervening in the foreign exchange markets. The remainder of this paper is organized as follows. Section 2 describes the data and empirical results. The conclusions drawn from the study are presented in Section 3. Finally, the appendix illustrates the derivations of empirical methodology adopted for this study.
نتیجه گیری انگلیسی
This paper re-examines the validity of the weak form efficient market hypothesis for the foreign exchange markets in four floating-rate Asian economies (Japan, South Korea, Taiwan and the Philippines). By using the Lo and MacKinlay, 1988 and Lo and MacKinlay, 1989 traditional variance ratio test, the Wright (2000) non-parametric-based variance ratio test and the Chow and Denning (1993) multiple-variance ratio test, our investigation includes a considerable amount of information on the exchange rate series. We also adopt a fixed-sized rolling window of 250 observations to compute the extent of inefficiency, in numerical terms, and analyze whether such efficiency is consistent in the four countries examined. The three testing methods, the traditional variance ratio test, the variance ratio test based upon ranks and signs and the multiple-variance ratio test all produce the same inference, that the foreign exchange markets of Japan, South Korea and the Philippines are weak form efficient, while that of Taiwan is inefficient. We infer from this that the government and the central bank of Taiwan regard it as important to intervene in the foreign exchange markets. Therefore, although Taiwan does have a so-called free-floating rate, the foreign exchange market is relatively inefficient. Conversely, the foreign exchange markets of Japan, South Korea and the Philippines are all efficient. This study found the foreign exchange market is relatively inefficient in Taiwan. It is, however, possible to profit by observing the policies of the government and the central bank in Taiwan. These findings have practical implications, in terms of operations and forecasting for policymakers in general, and in particular, for both individual and institutional investors, each of whom can assess the risk and establish an optimum investment strategy to obtain excess returns. Therefore, we suggest that these policies show that the governments and central banks of yen-based block or some other Asian or Australasian exchange rate system are more compliant with foreign market functions; thus it is more difficult to predict the behavior of the exchange rates of yen-based block or some other Asian or Australasian exchange rate system.