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What is Ljung-Box Q tests

Chapter 4
Handbook of Research on Strategic Developments and Regulatory Practice in Global Finance
It is an alternative test for return predictability based on serial correlation of return.
Published in Chapter:
Testing Random Walk Hypothesis in Turkish Foreign Exchange Market
Levent Çıtak (Erciyes University, Turkey), Veli Akel (Erciyes University, Turkey), and Murat Çetin (Namık Kemal University, Turkey)
Copyright: © 2015 |Pages: 13
DOI: 10.4018/978-1-4666-7288-8.ch004
Abstract
This chapter revisits the empirical validity of the weak-form efficient market hypothesis for Turkish foreign exchange markets. The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, particularly in developed economies. This chapter applies ADF and PP unit root test, Lo and MacKinlay's (1988) conventional variance ratio test and Ljung-Box Q tests to examine the validity of the random-walk hypothesis in the Turkish foreign-exchange market. The chapter utilizes weekly nominal TRY/USD exchange rate for data from January 2000 to December 2013. The results provide evidence rejecting the random walk hypothesis for weekly nominal exchange rate series.
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