Predictability of Trends In Foreign Exchange Market : The Case of Asean Currencies

Jabatan Kewangan
Universiti Kebangsaan Malaysia


Abstract

This paper explores the possibility of using past foreign exchange spot rates at different lags to predict future spot rates, Correlation coefficients were used to determine whether there is a significant relationship between past and future rates. In addition, runs test was also performed to find out whether or not the exchange rates are in fact move in a random fashion. Overall, this study indicates that trends in the foreign exchange rates for Asean currencies are not predictable. In other words, the Asean currencies follow a random walk (or the weak form of the efficient market hypothesis).

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Citation

Yong, O. (1986). Predictability of Trends In Foreign Exchange Market : The Case of Asean Currencies. Jurnal Pengurusan, 5, 27–33.

@article{yong1986predictability,
  title={Predictability of Trends In Foreign Exchange Market : The Case of Asean Currencies},
  author={Yong, Othman},
  journal={Jurnal Pengurusan},
 

volume={5},
  number={},
  pages={27—33},
  year={1986},
  doi={},
  publisher={Penerbit UKM},
}

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5 (1986) 27 – 33

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