Trends in currency's return

Indonesian Operations Research Association - International Conference on Operations Research 2017

Tan, A.^1 ; Shahrill, M.^2 ; Daud, S.^3 ; Leung, E.^1

Faculty of Science, Universiti Brunei Darussalam, Jalan Tungku Link, BE1410, Brunei^1

Sultan Hassanal Bolkiah Institute of Education, Universiti Brunei Darussalam, Jalan Tungku Link, BE1410, Brunei^2

UBD School of Business and Economics, Universiti Brunei Darussalam, Jalan Tungku Link, BE1410, Brunei^3

关键词: Alternative hypothesis;    Currency rates;    Efficient market hypothesis;    Exchange rates;    Hurst parameter;    Price movement;    R/s statistics;    Significance levels;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/332/1/012001/pdf
DOI  :  10.1088/1757-899X/332/1/012001

来源: IOP

【 摘 要 】

The purpose of this paper is to show that short-ranged dependence prevailed for Singapore-Malaysia exchange. Although, it is perceived that there is some evidence of long-ranged dependence [1,2], it is still unclear whether Singapore-Malaysia exchange indeed exhibits long-ranged dependence. For this paper, we focus on the currency rate for a sixteen-year period ranging from September 2002 to September 2017. We estimate the Hurst parameter using the famous rescaled R/S statistics technique. From our analysis, we showed that the Hurst parameter is approximately 0.5 which indicates short-ranged dependence. This short memory property is further validated by performing a one-tailed z-test whose alternative hypothesis is that the Hurst parameter is not 0.5 at 1% significance level. We conclude that the alternative hypothesis is rejected. The existence of short memory proves that the behaviour of the exchange rate is unpredictable, supporting the efficient market hypothesis, which states that not only is price movement completely random but also tomorrow's prices are predicted by all the information in today's prices.