We use Generalized Andrews-Ploberger (GAP) tests to examine the random-walk behavior of 17 OECD countries' euro exchange rates at daily frequencies. The GAP tests reject the hypothesis of random-walk behavior less often than do traditional tests. Moreover, the random-walk hypothesis cannot be...

Using the most comprehensive weekly dataset of ‘A’ shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995--2010. We find statistically significant profits from contrarian strategies, especially during the period...