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...
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| Format: | Article |
| Language: | English |
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Asian Academy of Management (AAM)
2005
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| Subjects: | |
| Online Access: | http://eprints.usm.my/35838/ http://eprints.usm.my/35838/1/AAMJ_10-1-1.pdf |
| _version_ | 1848877733966249984 |
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| author | Wickremasinghe, Guneratne B |
| author_facet | Wickremasinghe, Guneratne B |
| author_sort | Wickremasinghe, Guneratne B |
| building | USM Institutional Repository |
| collection | Online Access |
| description | 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 |
| first_indexed | 2025-11-15T17:20:08Z |
| format | Article |
| id | usm-35838 |
| institution | Universiti Sains Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T17:20:08Z |
| publishDate | 2005 |
| publisher | Asian Academy of Management (AAM) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | usm-358382017-07-25T08:10:29Z http://eprints.usm.my/35838/ Efficiency Of Foreign Exchange Markets: A Developing Country Perspective Wickremasinghe, Guneratne B HD28-70 Management. Industrial Management 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 Asian Academy of Management (AAM) 2005 Article PeerReviewed application/pdf en http://eprints.usm.my/35838/1/AAMJ_10-1-1.pdf Wickremasinghe, Guneratne B (2005) Efficiency Of Foreign Exchange Markets: A Developing Country Perspective. Asian Academy of Management Journal (AAMJ), 10 (2). pp. 1-17. ISSN 1394-2603 http://web.usm.my/aamj/10.1.2005/AAMJ%2010-1-1.pdf |
| spellingShingle | HD28-70 Management. Industrial Management Wickremasinghe, Guneratne B Efficiency Of Foreign Exchange Markets: A Developing Country Perspective |
| title | Efficiency Of Foreign Exchange Markets:
A Developing Country Perspective |
| title_full | Efficiency Of Foreign Exchange Markets:
A Developing Country Perspective |
| title_fullStr | Efficiency Of Foreign Exchange Markets:
A Developing Country Perspective |
| title_full_unstemmed | Efficiency Of Foreign Exchange Markets:
A Developing Country Perspective |
| title_short | Efficiency Of Foreign Exchange Markets:
A Developing Country Perspective |
| title_sort | efficiency of foreign exchange markets:
a developing country perspective |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/35838/ http://eprints.usm.my/35838/ http://eprints.usm.my/35838/1/AAMJ_10-1-1.pdf |