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标题：Random walks in asian foreign exchange markets:evidence from new multiple variance ratio tests
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作者：Shyh-wei Chen
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2009
卷号：29
期号：2
页码：1296-1307
出版社：Economics Bulletin
摘要：This paper revisits the random walk hypothesis for ten Pacific Basin foreign exchange markets. The results suggest that the null hypothesis of random walk is rejected based on the Lo-MacKinlay variance ratio tests, under conditions of both homoskedasticity and heteroskedasticity for the examined series. The use of a battery of new joint variance ratio tests provide further evidence against the random walk behavior than the conventional variance ratio tests. Therefore, we conclude that these Pacific Basin exchange markets violate the random walk hypothesis and are not in line with the weak-form efficient market hypothesis