A Study on the Efficiency of the Foreign Exchange Markets: Evidence from Korea, Japan and China

• 발행기관: 강원대학교 경영경제연구소
• 저자명: Il-Hyun Yoon Yong-Min Kim
• 간행물 정보: 『아태비즈니스연구』제11권 제1호, 61~75쪽, 전체 15쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2020.03.30

영문 초록

Purpose - The purpose of this study was to examine the efficiency of the foreign exchange markets in Korea, Japan and China. Design/methodology/approach - This study collected 1327 observations each of the daily closing exchange rates of the three currencies against the US dollar for the sample period from January 1, 2015 to January 31, 2020, based on the tests for autocorrelation, unit root tests and GARCH-M(1,1) model estimation. Findings - We have found that the autocorrelation test indicates the lack of autocorrelation and unit root test confirms the existence of unit roots in all times series of the three currencies, respectively. The GARCH-M(1,1) test results, however, suggest that the exchange rates do not follow a random walk process. In conclusion, the recent spot foreign exchange markets in Korea, Japan and China are believed to be informationally inefficient. Research implications or Originality - These findings have practical implications for both individual and institutional investors to be able to obtain excess returns on their investments in the foreign exchange markets in three countries by using appropriate risk management, portfolio strategy, technical analysis, etc. This study provides the first empirical examination on the foreign exchange market efficiency in the three biggest economies in Asia including China, which has been excluded from research due to its exchange rate regime.

목차

Ⅰ. Introduction

Ⅱ. Data and Methodology

Ⅲ. Empirical Findings

Ⅳ. Conclusion

References

키워드

Autocorrelation Efficient Market Hypothesis GARCH Model Random Walk Hypothesis