Efficiency Of Foreign Exchange Markets: A Developing Country Perspective
This study tests weak and semi-strong form efficiency of the foreign exchange market in Sri Lanka during the recent float using six bilateral exchange rates. Weak-form efficiency is examined using unit root tests while semi-strong form efficiency is tested using cointegration, Granger causality te...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2005
|
| Subjects: | |
| Online Access: | http://eprints.usm.my/35838/ http://eprints.usm.my/35838/1/AAMJ_10-1-1.pdf |
| Summary: | This study tests weak and semi-strong form efficiency of the foreign exchange market in
Sri Lanka during the recent float using six bilateral exchange rates. Weak-form efficiency
is examined using unit root tests while semi-strong form efficiency is tested using cointegration, Granger causality tests and variance decomposition analysis. Results
indicate that the Sri Lankan foreign exchange market is consistent with the weak-form of
the efficient market hypothesis (EMH). However, the results provide evidence against the
semi-strong version of the EMH. These results have important implications for
government policy makers and participants in the foreign exchange market of Sri Lanka |
|---|