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 (AAMJ), 10 (2). 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 during the recent float using six bilateral exchange rates. Weak-form efficiency is examined using unit root tests while semi-strong form efficiency is tested using cointegration, 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 (EMH). However, the results provide evidence against the semi-strong version of the EMH. These results have important implications for government policy makers and participants in the foreign exchange market of Sri Lanka

Item Type:	Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
Divisions:	Penerbit Universiti Sains Malaysia (USM Press) > Asian Academy of Management Journal (AAM)
Depositing User:	Mr Firdaus Mohamad
Date Deposited:	25 Jul 2017 08:10
Last Modified:	25 Jul 2017 08:10
URI:	http://eprints.usm.my/id/eprint/35838

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