Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes

Yang, Yanhong; Shao, Ying-Hui; Shao, Hao-Lin; Stanley, H. Eugene

doi:10.1016/j.physa.2019.02.056

Cited by 29 publications

(21 citation statements)

References 68 publications

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“…These outliers could be attributed to two instances of the SNB interventions (in 2011 and 2015). In order to demonstrate the origin of these deviations, we remove from our data sets a period of a half an hour in the morning on January 15, 2015, when a significant volatility of currencies exchange rates has been observed in the wake of the SNB intervention [9]. The resultant tails of the probability distributions are shown in the inset of Fig.…”

Section: Inverse Cubic Tails Of Absolute Return Distributionsmentioning

confidence: 99%

“…The Forex market determines currency exchange rates between any traded pair of currencies through a complex and nowadays mostly machine-driven automatic system of multiple type transactions among different kinds of buyers and sellers round-the-clock. Most recent works on uncovering patterns in foreign exchange markets include, but are not limited to, studies of lead-lag relationships [7], scaling relationships [8], multifractality and efficiency issues [9,10], partial correlations [11] or quote spreads in high-frequency trading [12].…”

Section: Introductionmentioning

confidence: 99%

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Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis

et al. 2019

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Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high-frequency exchange rates of eight major world currencies over 2010-2018 period are used to study cross-correlations. The study is motivated by fundamental questions in complex systems' response to significant environmental changes and by potential applications in investment strategies, including detecting triangular arbitrage opportunities. Dominant multiscale cross-correlations between the exchange rates are found to typically occur at smaller fluctuation levels. However, hierarchical organization of ties expressed in terms of dendrograms, with a novel application of the

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Section: Inverse Cubic Tails Of Absolute Return Distributionsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis

et al. 2019

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“…In the same vein, Dimri (2020) attests that most of the studies carried out seek evidence of the weak form of market efficiency. Yang, Shao, Shao and Stanley (2019) warn that, in a market with weak efficiency, the changes in the daily return values must meet the central limit theorem, that is, must be normally distributed. In addition to this assumption, Rabelo and Ikeda (2004) point out the need to measure the serial correlation between subsequent daily returns.…”

Section: The Efficient Marketmentioning

confidence: 99%

Os efeitos da Covid-19 sobre os desempenhos das ações dos setores da B3

et al. 2021

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Este trabalho teve como objetivo verificar o comportamento dos setores produtivos da B3 durante a pandemia de Covid-19, considerando o período de 2 de janeiro a 12 de maio de 2020. Esta pesquisa descritiva e quantitativa analisou o retorno médio mensal e o volume negociado de 55 setores. As técnicas utilizadas na análise dos dados foram: análise de clusters, diferença em diferenças e os testes de randomicidade, normalidade e correlação serial. Concluiu-se que a Covid-19 afetou os grupos de maneira diversa, sendo que um deles se comportou como um mercado de eficiência fraca. O estudo traz como contribuição a constatação empírica de que os setores que compõem a B3 apresentaram comportamentos distintos diante da pandemia no novo coronavírus.

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“…A large number of publications have examined the existence of the EMH in various developed and undeveloped markets with varying results (Ananzeh, 2014). Evidence from literature confirms the presence of the weak-form EMH in developed market (Anagnostidis, Varsakelis and Emmanouilides, 2016;Cootner, 1962;Fama and Blume, 1966;Mensi, Tiwari and Al-Yahyaee, 2019;Williamson, 1972;Yang et al, 2019) while empirical evidence from studies conducted in emerging economies yielded mixed results, between accepting or rejecting the null hypotheses of weak-form EMH.…”

Section: Empirical Literaturementioning

confidence: 99%

Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa

Kelikumea¹,

Olaniyib²,

Iyohab³

2020

International Journal of Management, Economics and Social Sciences

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This paper investigated the weak axiom of the efficient market hypothesis (EMH) as it applies to fifteen (15) leading stock markets in Africa. There are currently over twenty-nine stock exchanges in Africa with a significant degree of disparities ranging from market size, trading volume, number of listed companies, access to funds, access to information to market standardization etc. The article deviated from the conventional linear approach of testing efficient market hypothesis and the method of using the runs test for serial dependency to test the weak-form efficient market hypothesis. The paper adopted the wavelet unit root analysis-tool, which decomposed the stochastic processes into its wavelet components, with varying frequency band. The study found that institutional constraints have implications for the efficient market hypothesis and investment in the African stock market. The conclusions drawn from the study is the relevance of using past historical stock prices to predict the current earnings at stock markets in Africa, a negation of the efficient market hypothesis.

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Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes

Cited by 29 publications

References 68 publications

Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis

Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis

Os efeitos da Covid-19 sobre os desempenhos das ações dos setores da B3

Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa

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