Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies: Some Sri Lankan Evidence
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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
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 |
| URI | https://vuir.vu.edu.au/id/eprint/4047 |
| Official URL | http://emf.sagepub.com/content/7/2.toc |
| Subjects | Historical > Faculty/School/Research Centre/Department > School of Accounting Historical > FOR Classification > 1502 Banking, Finance and Investment Historical > SEO Classification > 9001 Financial Services |
| Keywords | ResPubID15672. foreign exchange markets, exchange rates, Sri Lanka, Sri Lankan, efficient market hypothesis, EMH, unit root tests, panel data, structural breaks, economic trends |
| Citations in Scopus | 2 - View on Scopus |
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