Research Repository

Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies: Some Sri Lankan Evidence

Wickremasinghe, Guneratne B (2008) Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies: Some Sri Lankan Evidence. Journal of Emerging Market Finance, 7 (2). pp. 169-196. ISSN 0972-6527

Full text for this resource is not available from the Research Repository.

Abstract

This study examines the empirical validity of the weak-form Effi cient Market Hypothesis (EMH) for the foreign exchange market of Sri Lanka, using a battery of (univariate and panel) unit root tests, including those that allow for structural breaks. Monthly exchange rates for four major currencies (Indian rupee, UK pound, US dollar and Japanese yen) vis-à-vis the Sri Lankan rupee are considered in the empirical analysis. The results indicate that the four exchange rates studied follow a random walk, thus supporting the validity of the weak-form EMH. These results have strong implications for the participants of the foreign exchange market of Sri Lanka and government policy makers.

Item Type: Article
Uncontrolled Keywords: ResPubID15672. foreign exchange markets, exchange rates, Sri Lanka, Sri Lankan, efficient market hypothesis, EMH, unit root tests, panel data, structural breaks, economic trends
Subjects: Faculty/School/Research Centre/Department > School of Accounting
FOR Classification > 1502 Banking, Finance and Investment
SEO Classification > 9001 Financial Services
Depositing User: VUIR
Date Deposited: 12 Aug 2011 02:13
Last Modified: 26 Aug 2011 04:59
URI: http://vuir.vu.edu.au/id/eprint/4047
ePrint Statistics: View download statistics for this item

Repository staff only

View Item View Item

Search Google Scholar