Testing for martingale difference hypothesis with structural breaks: Evidence from Asia–Pacific foreign exchange markets

Testing for martingale difference hypothesis with structural breaks: Evidence from Asia–Pacific foreign exchange markets

This study tests for martingale difference hypothesis (MDH) in nine selected Foreign Exchange (FX) markets from Asia–Pacific countries. Its main contributions to the literature include: (i) it adopts recent techniques in both the Autocorrelation based and Spectrum based tests for MDH, namely; the Wi...

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Bibliographic Details
Main Authors: Afees A. Salisu, Tirimisiyu F. Oloko, Oluwatomisin J. Oyewole
Format: Article
Language:English
Published: Elsevier 2016-12-01
Series:Borsa Istanbul Review
Subjects:
Martingale difference hypothesis (MDH)
Structural breaks
Asia–Pacific
FX market
Online Access:http://www.sciencedirect.com/science/article/pii/S2214845016300692

Internet

http://www.sciencedirect.com/science/article/pii/S2214845016300692

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