| dc.creator (作者) | 張元晨 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 5-Nov-2008 16:58:15 (UTC+8) | - |
| dc.date.available | 5-Nov-2008 16:58:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-Nov-2008 16:58:15 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/6111 | - |
| dc.description.abstract (摘要) | This paper employs a variance ratio test to reexamine the random walk hypothesis for the Canadian dollar, French franc, Deutsche mark, Japanese yen and British pound. In addition to standard normal test statistics, the bootstrap resampling technique is used to calculate the significance levels of variance ratio statistics over the period 7 August 1974 to 30 December 1998. The results provide evidence rejecting the random walk hypothesis for the Japanese yen over the entire sample, while the results for the other four currencies are inconclusive. Furthermore, subperiod results show that from 1989 onwards the random walk hypothesis cannot be rejected for the Canadian dollar, French franc, Deutsche mark, and British pound. | - |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Applied Financial Economics, 14, 671-679 | en_US |
| dc.title (題名) | A Re-examination of Variance-Ratio Test of Random Walks in Foreign Exchange Rates | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1080/0960310042000233449 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1080/0960310042000233449 | en_US |
