Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates

Adaptive Market Hypothesis: Evidence from three centuries of UK data

“…When utilizing the AVR, similar results are found regarding the time-varying efficiency of the currency (British Pound). Figure 4 indicates that efficiency is changing over time which is consistent with findings from Charles et al (2012) 2 . …”

“…We extend and complement Charles et al (2012) and Urquhart and Hudson (2013) by examining the efficiency of UK stock market and currency during the last three centuries. Using both AVR and AQ tests, we find evidence of time-varying degree of efficiency which supports the AMH.…”

“…Charles et al (2012) examined the return predictability of major foreign exchange rates using daily and weekly data from 1975 to 2009 by testing the Martingale Difference Hypothesis (MDH) and three alternatives including the wild bootstrap automatic variance-test ratio test. They concluded that the returns of the exchange rate were found to be unpredictable in most of the tested periods, yet there were cycles in which return predictability was statistically significant.…”

Eficiência adaptativa nos mercados futuros agropecuários brasileiros

“…Essa desvantagem pode ser superada por procedimentos de bootstrap, sendo o wild bootstrap o mais relevante (Escanciano & Lobato, 2009b). Recentemente, essas duas abordagens foram aplicadas por Charles, Darné & Kim (2012) e Lim, Luo & Kim (2013) no contexto de mercados acionários e cambiais, respectivamente, além de Dourado & Tabak (2013) que as aplicaram para o mercado acionário brasileiro.…”

“…Uma vez identificadas essas dependências, lineares e não lineares, devem-se, portanto, considerar os testes para a hipótese de diferença martingal que sejam robustos a essas características. Dessa forma, procede-se, conforme exposto na seção 3 e segundo Charles et al (2012), com os testes para a hipótese de diferença martingal robustos a essas características das séries.…”