汇率中的日历异常适应性:来自一致系数和 AR-GARCH 检验的证据

IF 1.9 Q2 BUSINESS, FINANCE Managerial Finance Pub Date : 2024-08-22 DOI:10.1108/mf-06-2024-0430
Dacio Villarreal-Samaniego
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引用次数: 0

摘要

目的本研究旨在从自适应市场假说(AMH)的角度研究八种外汇对美元汇率中的周末效应、月末效应、一月效应和万圣节效应的时变行为。本研究在滚动窗口框架下使用 2004 年 1 月至 2023 年 12 月的每日回报数据,采用协整系数检验和 AR-GARCH 模型来评估四种日历异常的时变行为。研究结果表明,在新兴货币中普遍存在日历异常的时变现象,在较小程度上在发达货币中也是如此。原创性/价值该研究率先从 AMH 的角度分析了各种货币的五种日历反常现象,并提出了针对具体情况的解释。研究还探讨了与简单的买入并持有策略相比,异常情况隐含的交易策略产生超额收益的潜力。此外,研究还介绍了最近开发的协整系数检验法,作为其他非参数方法的重要替代方法。
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Calendar anomalies’ adaptiveness in exchange rates: evidence from the concordance coefficient and AR-GARCH tests

Purpose

This research aims to examine the time-varying behavior of the Weekend, Turn-of-the-Month, January, and Halloween effects in eight foreign exchange rates against the U.S. dollar from the Adaptive Market Hypothesis (AMH) perspective. It also explores whether these anomalies can generate excess returns compared to a buy-and-hold strategy.

Design/methodology/approach

Using daily return data from January 2004 to December 2023 in a rolling-window framework, the study employs the Concordance Coefficient test and AR-GARCH models to assess the time-varying behavior of four calendar anomalies. It also assesses the statistical significance of the trading strategies implied by these anomalies using t-tests and applies F-tests for subperiod analysis.

Findings

The results reveal a generalized time-varying presence of calendar anomalies in emerging currencies and, to a lesser extent, developed currencies. However, the trading strategies implied by these anomalies generally did not show statistical significance, except for the Turn-of-the-Month effect, which exhibited statistically significant unprofitability.

Originality/value

The study pioneers an analysis of five calendar anomalies across various currencies from the standpoint of the AMH and proposes case-specific explanations for their occurrence. It also examines the potential for the anomalies’ implied trading strategies to generate excess returns compared to a straightforward buy-and-hold strategy. Additionally, the study introduces the recently developed Concordance Coefficient test as a valuable alternative to other non-parametric methods.

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来源期刊
Managerial Finance
Managerial Finance BUSINESS, FINANCE-
CiteScore
3.30
自引率
12.50%
发文量
103
期刊介绍: Managerial Finance provides an international forum for the publication of high quality and topical research in the area of finance, such as corporate finance, financial management, financial markets and institutions, international finance, banking, insurance and risk management, real estate and financial education. Theoretical and empirical research is welcome as well as cross-disciplinary work, such as papers investigating the relationship of finance with other sectors.
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