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
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
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