Efficiency of the foreign exchange markets in South Asian Countries
AbstractThis 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 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 InfoPaper provided by American International University-Bangladesh, Office of Research and Publications (ORP) in its series AIUB Bus Econ Working Paper Series with number AIUB-BUS-ECON-2008-18.
Date of creation: Jun 2008
Date of revision: Jun 2008
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-13 (All new papers)
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- Sasikumar, Anoop, 2011. "Testing for weak form market efficiency in Indian foreign exchange market," MPRA Paper 37071, University Library of Munich, Germany.
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