Non-Linear Dependence in ASEAN-5 Foreign Exchange Rates: An Insight from a Battery of Non-Linearity Tests

The main purpose of this study is to provide a deeper insight into the non-linear generating mechanism in the ASEAN-5 exchange rate returns series. To achieve that end, the differing power of the non-linear tests against certain alternatives is utilized. Specifically, the BDS and Hinich bispectru...

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Main Author:	Lim, Kian Ping
Format:	Thesis
Language:	English English
Published:	2001
Subjects:	Finance Taxation Economics
Online Access:	http://psasir.upm.edu.my/id/eprint/8289/1/FEP_2001_3_ir.pdf
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id	my-upm-ir.8289
record_format	uketd_dc
spelling	my-upm-ir.82892023-12-21T01:57:57Z Non-Linear Dependence in ASEAN-5 Foreign Exchange Rates: An Insight from a Battery of Non-Linearity Tests 2001-12 Lim, Kian Ping The main purpose of this study is to provide a deeper insight into the non-linear generating mechanism in the ASEAN-5 exchange rate returns series. To achieve that end, the differing power of the non-linear tests against certain alternatives is utilized. Specifically, the BDS and Hinich bispectrum tests are employed which provide valuable information on the adequacy of the current framework of ARCH-type models in capturing the non-linear dynamics in ASEAN-5 currencies. Daily data is used in this study covering the period from 1 990 to March 200 1 . The five ASEAN countries selected are Malaysia, Singapore, Thailand, Indonesia and the Philippines. The results from the BDS test indicate strong evidences of non-linearity in the ASEAN-5 exchange rate series. However, this conveys little information on the nature of the detected non-linearity since the BDS test has high power against vast class of alternatives. Further application of the Hinich bispectrum test can provide valuable non-linear identification information, in which the results reveal strong evidences against the adequacy of the ARCH-type models in explaining the nonlinear dynamics in ASEAN-5 exchange rate series. The evidences of non-linearity in ASEAN-5 currencies have profound implications on the validity of weak-form market efficient hypothesis, model adequacy as well as the pricing of future derivatives. Furthermore, the results might prompt economists or policy makers to consider alternative policy advice based on models characterised by non-linear dynamics. Finance Taxation Economics 2001-12 Thesis http://psasir.upm.edu.my/id/eprint/8289/ http://psasir.upm.edu.my/id/eprint/8289/1/FEP_2001_3_ir.pdf text en public masters Universiti Putra Malaysia Finance Taxation Economics Faculty of Economics and Management Mohamed, Azali English
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English English
advisor	Mohamed, Azali
topic	Finance Taxation Economics
spellingShingle	Finance Taxation Economics Lim, Kian Ping Non-Linear Dependence in ASEAN-5 Foreign Exchange Rates: An Insight from a Battery of Non-Linearity Tests
description	The main purpose of this study is to provide a deeper insight into the non-linear generating mechanism in the ASEAN-5 exchange rate returns series. To achieve that end, the differing power of the non-linear tests against certain alternatives is utilized. Specifically, the BDS and Hinich bispectrum tests are employed which provide valuable information on the adequacy of the current framework of ARCH-type models in capturing the non-linear dynamics in ASEAN-5 currencies. Daily data is used in this study covering the period from 1 990 to March 200 1 . The five ASEAN countries selected are Malaysia, Singapore, Thailand, Indonesia and the Philippines. The results from the BDS test indicate strong evidences of non-linearity in the ASEAN-5 exchange rate series. However, this conveys little information on the nature of the detected non-linearity since the BDS test has high power against vast class of alternatives. Further application of the Hinich bispectrum test can provide valuable non-linear identification information, in which the results reveal strong evidences against the adequacy of the ARCH-type models in explaining the nonlinear dynamics in ASEAN-5 exchange rate series. The evidences of non-linearity in ASEAN-5 currencies have profound implications on the validity of weak-form market efficient hypothesis, model adequacy as well as the pricing of future derivatives. Furthermore, the results might prompt economists or policy makers to consider alternative policy advice based on models characterised by non-linear dynamics.
format	Thesis
qualification_level	Master's degree
author	Lim, Kian Ping
author_facet	Lim, Kian Ping
author_sort	Lim, Kian Ping
title	Non-Linear Dependence in ASEAN-5 Foreign Exchange Rates: An Insight from a Battery of Non-Linearity Tests
title_short	Non-Linear Dependence in ASEAN-5 Foreign Exchange Rates: An Insight from a Battery of Non-Linearity Tests
title_full	Non-Linear Dependence in ASEAN-5 Foreign Exchange Rates: An Insight from a Battery of Non-Linearity Tests
title_fullStr	Non-Linear Dependence in ASEAN-5 Foreign Exchange Rates: An Insight from a Battery of Non-Linearity Tests
title_full_unstemmed	Non-Linear Dependence in ASEAN-5 Foreign Exchange Rates: An Insight from a Battery of Non-Linearity Tests
title_sort	non-linear dependence in asean-5 foreign exchange rates: an insight from a battery of non-linearity tests
granting_institution	Universiti Putra Malaysia
granting_department	Faculty of Economics and Management
publishDate	2001
url	http://psasir.upm.edu.my/id/eprint/8289/1/FEP_2001_3_ir.pdf
_version_	1794018733753106432

Non-Linear Dependence in ASEAN-5 Foreign Exchange Rates: An Insight from a Battery of Non-Linearity Tests

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