Theoretical and Applied Economics
No. 1 / 2016 (606), Spring
Efficiency, non-linearity and chaos: evidences from BRICS foreign exchange markets
BITS Pilani KK Birla Goa Campus, Goa, India
Bandi KAMAIAH
University of Hyderabad, Hyderabad, India
Abstract. This study examines the presence of possible weak form of market efficiency, non-linearity and chaotic behaviour in the foreign exchange markets of Brazil, Russia, India, China and South Africa(commonly known together as BRICS) using various tests. Monthly Nominal Effective Exchange Rate (NEER) data for the said countries, ranging from April 1994 to September 2014 were examined. The analysis was carried out using variance ratio (VR) tests, BDS test, Hinich Bispectrum test, Teräsvirta Neural Network test and estimation of Largest Lyapunov exponents (LLE’s). The first stage consisted of testing for weak-form market efficiency using VR tests, which rejected the Weak-form Efficient Market Hypothesis for all the five series. The next step was to analyze the possible presence of non-linearity, and this was carried out using BDS test, Hinich Bispectrum test, and Teräsvirta Neural Network test. All the tests confirmed the presence of non-linearity in the five series under study. The last step of the study was to analyze the structure of nonlinearity. LLE’s were estimated for all series in order to examine the possible presence of chaos. LLE’s for all the 5 series returned positive values, and thus confirmed the presence of an underlying chaotic structure for all markets.
Contents
Female entrepreneurial activity in Romania
Analysis of the causal link between wages and prices in UK
Assessing the regional development degree – step one: Calibrating the polar diagram
The relationship between output and asset prices: A time – and frequency – varying approach
Territorial patterns of development in the European Union
Nexus between defense expenditure and economic growth in BRIC economies: An empirical investigation
Efficiency, non-linearity and chaos: evidences from BRICS foreign exchange markets
A theoretical examination of tax evasion among the self-employed
Long-term effects of the investments dynamics in Romania in the post-accession period – a regional approach
A utility based theoretical model for the income-life expectancy curve
Essentials aspects on macroeconomic variables and their correlations
Determinants of the Hungarian forint/ US dollar exchange rate
Macroeconomic strategies for the prevention of economic and financial crisis
Does tourism affect economic growth in Indian states? Evidence from panel ARDL model
Sovereign debt crisis. From challenges to solutions
International trade and tourism for Mediterranean countries: A panel causality analysis
Economic freedom index and stock returns in Malaysia
How budget deficit and current account deficit are interrelated in Indian economy
Study regarding the influence of the endogenous and exogenous factors on credit institution’s return on assets
Effects of oil returns and external debt on the government investment: A case study of Syria