Bachelier, L. (1900) Theorie de la speculation. Annales Scientifiques de l’école Normale Supérieure, 17, 21-86. - References

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Bachelier, L. (1900) Theorie de la speculation. Annales Scientifiques de l’école Normale Supérieure, 17, 21-86.
https://doi.org/10.24033/asens.476

has been cited by the following article:

TITLE: Market Efficiency in Indian Exchange Rates: Adaptive Market Hypothesis

AUTHORS: Dilip Kumar

KEYWORDS: Automatic Variance Ratio (AVR) Test, Rank-Based Tests, Adaptive Market Hypothesis (AMH), Market Efficiency, Return Predictability

JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.9, June 13, 2018

ABSTRACT: This paper utilizes the automatic variance ratio test and Belaire-Franch and Contreras (2004) rank-based tests to examine the adaptive market hypothesis in Indian exchange rates relative to US dollar (USD), Great British pound (GBP), Euro and Japanese yen (Yen). We use overlapping and non-overlapping moving subsample approach to examine the sensitivity of the results to a particular sample period. Our findings provide evidence in support of violation of the martingale hypothesis of Indian exchange rates relative to the US dollar and Japanese yen for whole sample period. Our findings also provide evidence that the predictability of returns of Indian exchange rates occurs from time to time and depends on occurrence of major macroeconomic events. These findings are consistent with the validity of adaptive market hypothesis in Indian exchange rates.

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