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Efficiency of the foreign exchange markets in South Asia

Author

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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.

Suggested Citation

  • Abdullah M. Noman & Minhaz U. Ahmed, 2009. "Efficiency of the foreign exchange markets in South Asia," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 1(4), pages 295-305.
    • Handle: RePEc:ids:afasfa:v:1:y:2009:i:4:p:295-305
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    Citations

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    Cited by:

    1. Anoop S Kumar, 2011. "Testing for Weak Form of Market Efficiency in Indian Foreign Exchange Market," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 7-19, August.
    2. 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.
    3. Anoop S. KUMAR & Bandi KAMAIAH, 2016. "Efficiency, non-linearity and chaos: evidences from BRICS foreign exchange markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(606), S), pages 103-118, Spring.
    4. Gofaone Matebejana & Gaotlhobogwe Motlaleng & James Juana, 2017. "Foreign Exchange Market Efficiency In Botswana," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 19, pages 55-74, June.
    5. S. Anoop Kumar & Bandi Kamaiah, 2014. "Efficient Market Hypothesis: Some Evidences from Emerging European Forex Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 17(52), pages 27-44, June.
    6. Mahamuda Firoj & Sharmina Khanom, 2018. "Efficient Market Hypothesis: Foreign Exchange Market of Bangladesh," International Journal of Economics and Financial Issues, Econjournals, vol. 8(6), pages 99-103.

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