A Variance‐Ratio Test of Random Walks in Foreign Exchange Rates
使用1974年8月7日至1989年3月29日五组周名义汇率序列，通过同方差和异方差下的方差比检验，发现证据拒绝随机游走假说，表明汇率存在自相关，可能与汇率超调或欠调现象一致。
ABSTRACT The separate variance‐ratio tests under homoscedasticity and heteroscedasticity both provide evidence rejecting the random walk hypothesis, using five pairs of weekly nominal exchange rate series over the period from August 7, 1974 to March 29, 1989. The rejections cast doubt on the random walk hypothesis in exchange rates, which has received support in the existing literature. Furthermore, since the rejections are robust to heteroscedasticity, they suggest autocorelations of weekly increments in the nominal exchange rate series, which may be consistent with the exchange rate overshooting or undershooting phenomenon.