Efficiency of the foreign exchange markets in South Asian Countries
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 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.
|Date of creation:||Jun 2008|
|Date of revision:||Jun 2008|
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