Author

  • Rangan Gupta

    • Department of Economics, University of Pretoria, Pretoria, South Africa
    • South Africa

  • Vasilios Plakandaras

    • Department of Economics, Democritus University of Thrace, University Campus, Komotini, Greece
    • Greece

Abstract

We analyze the directional predictability in foreign exchange markets of Brazil, Russia, India, China and South Africa (BRICS) using the quantilogram, based on long-spans of monthly historical data, at times covering over a century. We find that the efficient market hypothesis (EMH) holds at the extreme phases of the currency markets (and around the median for India and South Africa). Since predictability holds at certain parts of the unconditional distribution of exchange rate returns, we find support for the Adaptive Market Hypothesis (AMH). AMH, based on the idea of bounded rationality, suggests that currency return predictability will be intermittent, due to changing market conditions and institutional factors.

Keywords

References

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How to Cite

Gupta, R., & Plakandaras, V. (2019). Efficiency in BRICS Currency Markets Using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability. Journal of Economics and Behavioral Studies, 11(1(J), 152-165. https://doi.org/10.22610/jebs.v11i1(J).2756

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Section

Research Paper

Published in

Vol. 11 No. 1(J) (2019) Leadership, Policy & Investor Behaviour View issue contents

Published

2019-03-10

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