Testing for random walk behavior in euro exchange rates

This study examines the random walk behavior of major Euro exchange rates. The hypothesis is tested with new variance ratio tests based on power transformation and multiple ranks from daily and weekly data. We find that Euro exchange rates for the major trading countries follow the random walk hypothesis, and therefore are significantly weak-form efficient. This outcome is not necessarily the case for non-major trading currencies, especially for the Swedish kroner, where the random walk hypothesis is rejected at the daily and weekly frequencies.

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Additional Info

Field Value
Source International Economics/Economie Internationale
Author Charles, Amélie, Darné, Olivier
Maintainer CCSD
Last Updated May 15, 2026, 12:41 (UTC)
Created May 15, 2026, 12:41 (UTC)
Identifier hal-00771082
Language en
contributor Audencia Business School
creator Charles, Amélie
date 2009-05-15T00:00:00
harvest_object_id 2a622c31-583e-4cc7-9a38-accdf1f907be
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-06-04T00:00:00
set_spec type:ART