Martingales Property in Albania Exchange Market

Rozana Liko and Artion Kashuri

Academic Journal of Interdisciplinary Studies, 2016, vol. 5

Abstract: The aim of this paper is to test whether the Albanian exchange rate market is weak form efficient by studying the statistical behavior of daily Euro/All and USD/All exchange rate during the period January 05, 2010 – April 30, 2015, which are the most influential currency in Albania market. The study seeks to examine whether this currencies follow each a martingale. The unit root tests, and variation ratio test are used. The various analytical tests implemented in the study provide evidence of non martingale property of exchange market in Albania.

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.richtmann.org/journal/index.php/ajis/article/view/8954 (text/html)
https://www.richtmann.org/journal/index.php/ajis/article/view/8954/8646 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bjz:ajisjr:1438

DOI: 10.5901/ajis.2016.v5n1p93

Access Statistics for this article

More articles in Academic Journal of Interdisciplinary Studies from Richtmann Publishing Ltd
Bibliographic data for series maintained by Richtmann Publishing Ltd ().