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Efficiency of the foreign exchange markets in South Asia

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  • Abdullah M. Noman
  • Minhaz U. Ahmed

Abstract

This paper examines the weak form efficiency of the foreign exchange markets in seven SAARC countries using monthly return series for each of these markets over a period of 21 years (1985-2005). We applied a battery of unit root tests and variance ratio tests (individual and multiple) to see whether the return series (and also the raw data) follow a random walk process. Our results suggest that the increments of the return series are not serially correlated. Therefore, we conclude that foreign exchange markets in SAARC countries are weak form efficient.

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Bibliographic Info

Article provided by Inderscience Enterprises Ltd in its journal Afro-Asian J. of Finance and Accounting.

Volume (Year): 1 (2009)
Issue (Month): 4 ()
Pages: 295-305

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Handle: RePEc:ids:afasfa:v:1:y:2009:i:4:p:295-305

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Web page: http://www.inderscience.com/browse/index.php?journalID=214

Related research

Keywords: exchange rates; market efficiency; variance ratio test; random walk; South Asian Association for Regional Cooperation; SAARC; foreign exchange markets; South Asia.;

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Cited by:
  1. Sifunjo E. Kisaka & Wainaina Gituro & Pokhariyal Ganesh & Ngugi W. Rose, 2008. "An analysis of the efficiency of the foreign exchange market in Kenya," Economics Bulletin, AccessEcon, vol. 14(2), pages 1-13.

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