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Posted on Oct 02, 2024

Kan et al. (2007) examined the efficient market hypothesis for the case of post-cnsis Asian Pacific countries. Specifically, the paper applied the foreign exchange market

Kan et al. (2007) examined the efficient market hypothesis for the case of post-cnsis Asian Pacific countries. Specifically, the paper applied the foreign exchange market efficiency argument to post-1997 Asian (Korea, Taiwan Thailand. Indonesia, Malaysia, Philippines, Japan, Singapore) and Australasian (Australia, New Zealand countries. The sample used in this work encompassed 1649 daily observations of spot exchange ratesbetween each pair of countries spanning the seven-year period 31 December 1996 to 15 May 2003. The authors conducted the following Dickey-Fuller and Augmented Dickey-Fuller tests (for 1 to 5 lags) for the spot exchange rates: Table 1 Unit root test results for spot exchange rates in the Asia Pacific region NZS spot AUS spot Taiwans spot L. ADF Ist difr L. ADF Ist diff L. ADF Ist diff Singapore spot Yen spor L. ADF Ist diff L. ADF Ist diff 2.10 -2.18 -2.21 DF ADRI) ADF(2) ADF3) ADF(4) ADF 5) 0.31 -0.21 -0.09 -0.12 -0.16 -0.19 42.18 30.71 24.21 20.39 18.01 16.65 -LOS 0.90 -0.89 -0.84 -0.84 -0.87 42164 29. 56 2435 20.87 18.31 16.94 -1.95 1.97 -1.90 1.97 1.97 2.01 39.64 30.40 22.86 19.75 17.17 16.45 2.68 2.57 2.66 2.62 2.59 2.69 43.43 28.15 23.70 20.83 17.44 18.06 40.19 -27.65 22.89 20.59 18.25 16.85 2.09 -2.12 Peso spot Baht spel Ruppiah spot Ringgit spot Korean Won spot ist difi L ADF Ist diff L. ADF Ist dift 240 L. ADF Ist ditt L. ADF Ist ditt L. ADF DF 2.24 35.30 2.39 39,37 -1.98 ADF(1) 237 29.20 2.42 19.62 2.03 ADF 2) 2.26 237 26.83 2.0 ADF(3) 2.16 23.04 226 20.30 1.98 ADFA) 2.02 1998 235 17.61 2015 ADF 5) 2.01 18.25 239 16.84 1.91 95% critical value for the augmented Dickey-Fuller statistic ADF regressions 39.00 28.21 24.01 19.62 19.89 19.24 2.29 2.38 27 2.42 3493 24,20 2075 20 56 1991 1862 2.67 7.55 -2.33 -2.16 2.0 34.49 38.20 26.74 25 53 25.09 2137 230 3.4151: 1619 observations used in the estimation of Required: Explain why the authors conducted the Dickey-Fuller and Augmented Dickey Fuller tests formulate the null and the alterative hypotheses of these tests and interpret the resultsin detail Kan et al. (2007) examined the efficient market hypothesis for the case of post-cnsis Asian Pacific countries. Specifically, the paper applied the foreign exchange market efficiency argument to post-1997 Asian (Korea, Taiwan Thailand. Indonesia, Malaysia, Philippines, Japan, Singapore) and Australasian (Australia, New Zealand countries. The sample used in this work encompassed 1649 daily observations of spot exchange ratesbetween each pair of countries spanning the seven-year period 31 December 1996 to 15 May 2003. The authors conducted the following Dickey-Fuller and Augmented Dickey-Fuller tests (for 1 to 5 lags) for the spot exchange rates: Table 1 Unit root test results for spot exchange rates in the Asia Pacific region NZS spot AUS spot Taiwans spot L. ADF Ist difr L. ADF Ist diff L. ADF Ist diff Singapore spot Yen spor L. ADF Ist diff L. ADF Ist diff 2.10 -2.18 -2.21 DF ADRI) ADF(2) ADF3) ADF(4) ADF 5) 0.31 -0.21 -0.09 -0.12 -0.16 -0.19 42.18 30.71 24.21 20.39 18.01 16.65 -LOS 0.90 -0.89 -0.84 -0.84 -0.87 42164 29. 56 2435 20.87 18.31 16.94 -1.95 1.97 -1.90 1.97 1.97 2.01 39.64 30.40 22.86 19.75 17.17 16.45 2.68 2.57 2.66 2.62 2.59 2.69 43.43 28.15 23.70 20.83 17.44 18.06 40.19 -27.65 22.89 20.59 18.25 16.85 2.09 -2.12 Peso spot Baht spel Ruppiah spot Ringgit spot Korean Won spot ist difi L ADF Ist diff L. ADF Ist dift 240 L. ADF Ist ditt L. ADF Ist ditt L. ADF DF 2.24 35.30 2.39 39,37 -1.98 ADF(1) 237 29.20 2.42 19.62 2.03 ADF 2) 2.26 237 26.83 2.0 ADF(3) 2.16 23.04 226 20.30 1.98 ADFA) 2.02 1998 235 17.61 2015 ADF 5) 2.01 18.25 239 16.84 1.91 95% critical value for the augmented Dickey-Fuller statistic ADF regressions 39.00 28.21 24.01 19.62 19.89 19.24 2.29 2.38 27 2.42 3493 24,20 2075 20 56 1991 1862 2.67 7.55 -2.33 -2.16 2.0 34.49 38.20 26.74 25 53 25.09 2137 230 3.4151: 1619 observations used in the estimation of Required: Explain why the authors conducted the Dickey-Fuller and Augmented Dickey Fuller tests formulate the null and the alterative hypotheses of these tests and interpret the resultsin detail