南非汇率可预见性与适应性市场假说

IF 2.1 Q3 BUSINESS

Journal of African Business Pub Date : 2021-10-09 DOI:10.1080/15228916.2021.1975488

George Tweneboah, M. Asamoah, Peterson Owusu Junior

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引用次数: 0

摘要

本研究旨在利用2010年1月至2018年2月的每日名义汇率，探讨全球外汇汇率对-à-vis南非兰特的可预测性。估计技术包括自动组合检验、野自举方差比检验、鞅差分假设的Dominguez-Lobato检验和广义谱检验。我们采用定长滚动窗方法研究时变的可预测性。完整的样本结果表明，一些汇率具有显著的可预测性，而另一些则没有可预测性。滚动窗口方法表明，所有外汇市场都经历了重大可预测性和不可预测性的时期。货币投资空间是动态的，因此市场参与者必须具备适应能力。

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On Exchange Rate Predictability and Adaptive Market Hypothesis in South Africa

ABSTRACT This study sets out to explore the predictability of global foreign exchange rates vis-à-vis the South African rand using daily nominal exchange rates from January 2010 to February 2018. The estimation techniques include automatic portmanteau test, wild bootstrap variance ratio test, Dominguez–Lobato test for martingale difference hypothesis, and generalized spectral tests. We investigate the time-varying predictability by employing the fixed-length rolling window approach. The full sample results indicate significant predictability of some exchange rates while some suggest no predictability. The rolling window approach established that all the foreign exchange markets go through episodes of significant predictability and episodes of unpredictability. The currency investment space is dynamic and that makes it imperative for market participants to be adaptable.

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来源期刊

Journal of African Business BUSINESS-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： Journal of African Business is the official journal of the Academy of African Business and Development, the largest network of professionals committed to advancement of business development in African nations. JAB strives to comprehensively cover all business disciplines by publishing high quality analytical, conceptual, and empirical articles that demonstrate a substantial contribution to the broad domain of African business. Regardless of the research context, tradition, approach, or philosophy, manuscripts submitted to JAB must demonstrate that the topics investigated are important to the understanding of business practices and the advancement of business knowledge in or with Africa. Particularly, JAB welcomes qualitative and quantitative research papers. JAB is not, however, limited to African-based empirical studies. It searches for various contributions, including those based on countries outside Africa that address issues relevant to African business. Targeted toward academics, policymakers, consultants, and executives, JAB features the latest theoretical developments and cutting-edge research that challenge established beliefs and paradigms and offer alternative ways to cope with the endless change in the business world. Covered areas: Accounting; Agribusiness Management and Policy; Business Law; Economics and Development Policy; Entrepreneurship and Family Business; Finance; Global Business; Human Resource Management; Information and Communications Technology (ICT); Labor Relations; Marketing; Management Information Systems (MIS); Non-Profit Management; Operations and Supply Chain Management; Organizational Behavior and Theory; Organizational Development; Service Management; Small Business Management; Social Responsibility and Ethics; Strategic Management Policy; Technology and Innovation Management; Tourism and Hospitality Management; Transportation and Logistics