Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates
使用联合方差比检验重新评估汇率是否遵循鞅假设，发现与早期研究相反，在浮动汇率制后期，鞅模型对汇率表现良好。
Abstract There is considerable interest in whether exchange rates behave like martingales. Liu and He tested the martingale hypothesis for exchange rates using the variance-ratio methodology of Lo and MacKinlay. They found that exchange rates have violated the martingale property since the inception of floating rates in 1973. Liu and He did not consider the joint implications of their tests, however. In this article, we reassess the martingale hypothesis for exchange rates using the joint tests developed by Hochberg and by Richardson and Smith. Contrary to the findings of Liu and He, the joint tests indicate that the martingale model worked quite well for exchange rates in the recent years of the floating-rate regime. KEY WORDS: Exchange ratesMultiple-comparisons testOverlapping observations