Rescaled Range Analysis and Detrended Fluctuation Analysis Study of Foreign Exchange Market Efficiency: A Case Study for Iran
Efficient market hypothesis originally proposed by Fama states that prices fully reflect all available information. This hypothesis has three forms: weak form, semi-strong form and strong form. The main purpose of this paper is to investigate the weak form efficiency in Iranian foreign exchange market for the period 2002:21:03 to 2010:17:06 using two methods: rescaled range analysis and detrended fluctuation analysis. Results show that based on rescaled range analysis Iranian foreign exchange market is inefficient In contrast, based on detrended fluctuation analysis this market is weak form efficient. For some reasons, it seems that the latter method provides more reasonable result. So, we conclude that Iranian foreign exchange market is efficient in weak form for selected period. This means that no profitable information about future exchange rate movements can be obtained by studying the past history of exchange rates.
Rescaled Range Analysis Detrended Fluctuation Analysis Efficient Market Hypothesis Rial-Dollar Exchange Rates
Saeed Rasekhi Mahdi Shahrazi
Faculty of Economics and Administrative Science The University of Mazandaran Babolsar, Iran
国际会议
上海
英文
538-543
2011-03-11（万方平台首次上网日期，不代表论文的发表时间）