Predictability of exchange rates in Sri Lanka: a test of the efficient market hypothesis
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Wickremasinghe, Guneratne B (2008) Predictability of exchange rates in Sri Lanka: a test of the efficient market hypothesis. Asian academy of management journal of accounting and finance, 3 (2). pp. 43-59. ISSN 1823-4992
Abstract
This study examined the validity of the weak and semi-strong forms of the efficient market hypothesis (EMH) for the foreign exchange market of Sri Lanka. Monthly exchange rates for four currencies during the floating exchange rate regime were used in the empirical tests. Using a battery of tests, empirical results indicate that the current values of the four exchange rates can be predicted from their past values. Further, the tests of semi-strong form efficiency indicate that exchange rate pairs are significantly correlated at different leads and lags. These results are not consistent with the weak and semi-strong versions of the EMH. The above results have important implications for government policy makers and participants of the foreign exchange market of Sri Lanka.
| Additional Information | Online ISSN: 2180-4192 |
| Item type | Article |
| URI | https://vuir.vu.edu.au/id/eprint/4046 |
| Official URL | http://web.usm.my/journal/aamjaf/vol3_2_2007.html |
| Subjects | Historical > Faculty/School/Research Centre/Department > School of Accounting Historical > SEO Classification > 9001 Financial Services Historical > FOR Classification > 1502 Banking, Finance and Investment |
| Keywords | ResPubID16344. efficient market hypothesis, EMH, Sri Lanka, Sri Lankan, cross-correlation test, foreign exchange market, exchange rates, economic forecasting |
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