Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market
The purpose of this study is to examine the Efficiency Market Hypothesis (EMH) from the perspective of the Algerian exchange rate market. We apply different tests of dependence, long memory, volatility clustering and unit root tests over the three main Algerian exchange rate returns series vis–à-vi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2022-12-01
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| Series: | Management Dynamics in the Knowledge Economy |
| Online Access: | https://www.managementdynamics.ro/index.php/journal/article/view/487 |
| _version_ | 1797960355813523456 |
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| author | Yassine BENZAI Hadjar Soumia AOUAD Nassima DJELLOULI |
| author_facet | Yassine BENZAI Hadjar Soumia AOUAD Nassima DJELLOULI |
| author_sort | Yassine BENZAI |
| collection | DOAJ |
| description |
The purpose of this study is to examine the Efficiency Market Hypothesis (EMH) from the perspective of the Algerian exchange rate market. We apply different tests of dependence, long memory, volatility clustering and unit root tests over the three main Algerian exchange rate returns series vis–à-vis the US Dollar, the Euro, and the British Pound. Empirical findings suggest that combined Autoregressive Moving Average (ARMA)-Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic (FIGARCH) models were the most appropriate to represent the behavior of exchange rate returns. We also compare the predictive qualities of the estimated models and the Random Walk (RW) in terms of out-of-sample forecasting. The results are held to imply the rejection of the EMH in the Algerian exchange rate market. Therefore, the exchange rates fluctuations can be predicted, which may help public authorities intervene in the exchange market and assess the consequences of different economic policies.
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| first_indexed | 2024-04-11T00:44:44Z |
| format | Article |
| id | doaj.art-6d5bcacc737b4ece953243d5cb08689c |
| institution | Directory Open Access Journal |
| issn | 2286-2668 2392-8042 |
| language | English |
| last_indexed | 2024-04-11T00:44:44Z |
| publishDate | 2022-12-01 |
| publisher | Sciendo |
| record_format | Article |
| series | Management Dynamics in the Knowledge Economy |
| spelling | doaj.art-6d5bcacc737b4ece953243d5cb08689c2023-01-05T21:48:28ZengSciendoManagement Dynamics in the Knowledge Economy2286-26682392-80422022-12-01104Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange MarketYassine BENZAI0Hadjar Soumia AOUAD1Nassima DJELLOULI2University of Dr. Moulay Tahar SaidaUniversity of Dr. Moulay Tahar SaidaUniversity of Dr. Moulay Tahar Saida The purpose of this study is to examine the Efficiency Market Hypothesis (EMH) from the perspective of the Algerian exchange rate market. We apply different tests of dependence, long memory, volatility clustering and unit root tests over the three main Algerian exchange rate returns series vis–à-vis the US Dollar, the Euro, and the British Pound. Empirical findings suggest that combined Autoregressive Moving Average (ARMA)-Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic (FIGARCH) models were the most appropriate to represent the behavior of exchange rate returns. We also compare the predictive qualities of the estimated models and the Random Walk (RW) in terms of out-of-sample forecasting. The results are held to imply the rejection of the EMH in the Algerian exchange rate market. Therefore, the exchange rates fluctuations can be predicted, which may help public authorities intervene in the exchange market and assess the consequences of different economic policies. https://www.managementdynamics.ro/index.php/journal/article/view/487 |
| spellingShingle | Yassine BENZAI Hadjar Soumia AOUAD Nassima DJELLOULI Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market Management Dynamics in the Knowledge Economy |
| title | Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market |
| title_full | Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market |
| title_fullStr | Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market |
| title_full_unstemmed | Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market |
| title_short | Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market |
| title_sort | long memory models in testing the efficiency market hypothesis of the algerian exchange market |
| url | https://www.managementdynamics.ro/index.php/journal/article/view/487 |
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