An examination of the short-term and long-term behavior of foreign exchange rates

Financial Review

Volumn 31, Issue 3, 1996, Pages 603-622

  Pan, Ming Shiun ^a   Liu, Y Angela ^b   Bastin, Hamid ^a  

^a SHIPPENSBURG UNIVERSITY   (United States)

^b NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0007148398     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.1996.tb00889.x     Document Type: Article

References (26)

1. Abuaf, Niso., and Philippe, Jorion., Purchasing Power Parity in the Long Run. Journal of Finance 45(March 1990): 157-174.
2. Adler, Michael., and Bruce, Lehmann., Deviations from Purchasing Power Parity in the Long Run. Journal of Finance 38(December 1983): 1471-1487.
3. Baillie, Richard T., and Tim, Bollerslev., Common Stochastic Trends in a System of Exchange Rates. Journal of Finance 44(March 1989): 167-181.
4. Baillie, Richard T., and Patrick C. McMahon., The Foreign Exchange Market: Theory and Econometric Evidence. Cambridge University Press, Cambridge, 1989.
5. Booth, G. Geoffrey., Fred R. Kaen, and Peter E.Koveos. R/S Analysis of Foreign Exchange Rates Under Two International Monetary Regimes. Journal of Monetary Economics 10(November 1982): 407-415.
6. Cheung, Yin-Wong., Long Memory in Foreign-Exchange Rates. Journal of Business & Economic Statistics 11(January 1993): 93-101.
7. Cochrane, John H., How Big is the Random Walk in GNP. Journal of Political Economy 96(October 1988): 893-920.
8. Coleman, Mark., Cointegration-Based Tests of Daily Foreign Exchange Market Efficiency. Economic Letters 32(January 1990): 53-59.
9. Cornell, Bradford., and J. KimballDietrich. The Efficiency of the Market for Foreign Exchange Under Floating Exchange Rates. The Review of Economics and Statistics 60(February 1978): 111-120.
10. Davies, Robert D., and D. Harte., Tests for Hurst Effect. Biometrika 74(March 1987): 95-101.
11. Dornbusch, Rudiger., Expectations and Exchange Rate Dynamics. Journal of Political Economy 84(December 1976): 1161-1176.
12. Fama, Eugene F., and Kenneth R. French. Permanent and Temporary Components of Stock Prices. Journal of Political Economy 96(April 1988): 246-273.
13. Frenkel, Jacob A., Flexible Exchange Rates, Prices, and the Role of ‘News’: Lessons from the 1970‘s. Journal of Political Economy 89(August 1981): 665-705.
14. Frenkel, Jacob A., and CarlosRodriguez. Exchange Rate Dynamics and Overshooting Hypothesis. I.M.F. Staff Papers 29(March 1982): 1-30.
15. Fung, Hung-Gay., and Wai-Chung, Lo., Deviations from Purchasing Power Parity. The Financial Review 27(November 1992): 553-570.
16. Hakkio, Craig S., Does the Exchange Rate Follow a Random Walk. Journal of International Money and Finance 5(June 1986): 221-229.
17. Hsieh, David A., The Statistical Property of Daily Foreign Exchange Rates: 1974-1983. Journal of International Economics 24(February 1988): 129-145.
18. Kim, Myung Jig., Charles R. Nelson, and Richard, Startz., Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence. Review of Economic Studies 58(May 1991): 515-528.
19. Liu, Christina Y., and JiaHe. A Variance-Ratio Test of Random Walks in Foreign Exchange Rates. Journal of Finance 46(June 1991): 773-785.
20. Lo, Andrew W., Long-Term Memory in Stock Market Prices. Econometrica 59(September 1991): 1279-1313.
21. Lo, Andrew W., and A. CraigMacKinlay. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. Review of Financial Studies 1(Spring 1988): 41-66.
22. Lo, Andrew W., and A. Craig MacKinlay., The Size and Power of the Variance-Ratio Test in Finite Samples: A Monte Carlo Investigation. Journal of Econometrics 40(February 1989): 203-238.
23. Lucas, Robert E., Asset Prices in an Exchange Economy. Econometrica 46(November 1978): 1429-1446.
24. Mandelbrot, Benoit B., and James R. Wallis. Some Long Run Properties of Geophysical Records. Water Resources Research 5(October 1969): 321-340.
25. Meese, Richard A., and Kenneth J. Singleton. On Unit Roots and the Empirical Modeling of Exchange Rates. Journal of Finance 37(September 1982): 1029-1035.
26. Richardson, Matthew., Temporary Components of Stock Prices: A Skeptic’s View. Journal of Business & Economic Statistics 11(April 1993): 199-207.