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Efficiency of foreign exchange markets: a developing country perspective

Wickremasinghe, Guneratne B (2005) Efficiency of foreign exchange markets: a developing country perspective. Asian academy of management journal, 10 (1). pp. 1-17. ISSN 1394-2603

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Abstract

This study tests weak and semi-strong form efficiency of the foreign exchange market in Sri Lanka using six bilateral foreign exchange rates during the recent float. Weak-form efficiency is examined using unit root tests while semi-strong form efficiency is tested using co- integration and 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. However, the results provide evidence against the semi - strong version of the Efficient Market hypothesis. These results have important implications for government policy makers and participants in the foreign exchange market of Sri Lanka.

Item Type: Article
Uncontrolled Keywords: ResPubID8500. efficient market hypothesis, Sir Lanka, foreign exchange market, Japanese yen, variance decomposition
Subjects: RFCD Classification > 350000 Commerce, Management, Tourism and Services
Faculty/School/Research Centre/Department > School of Accounting
Depositing User: Ms Phung T Tran
Date Deposited: 14 Jan 2009 12:14
Last Modified: 18 Apr 2012 02:39
URI: http://vuir.vu.edu.au/id/eprint/1296
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