Efficiency of foreign exchange markets: a developing country perspective

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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

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
URI https://vuir.vu.edu.au/id/eprint/1296
Official URL http://web.usm.my/aamj/10.1.2005/AAMJ%2010-1-1.pdf
Subjects Historical > RFCD Classification > 350000 Commerce, Management, Tourism and Services
Historical > Faculty/School/Research Centre/Department > School of Accounting
Keywords ResPubID8500. efficient market hypothesis, Sir Lanka, foreign exchange market, Japanese yen, variance decomposition
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