Efficiency of the foreign exchange markets in South Asia

Abdullah Noman and Minhaz U. Ahmed

Afro-Asian Journal of Finance and Accounting, 2009, vol. 1, issue 4, 295-305

Abstract: This paper examines the weak form efficiency of the foreign exchange markets in seven SAARC countries using monthly return series for each of these markets over a period of 21 years (1985-2005). We applied a battery of unit root tests and variance ratio tests (individual and multiple) to see whether the return series (and also the raw data) follow a random walk process. Our results suggest that the increments of the return series are not serially correlated. Therefore, we conclude that foreign exchange markets in SAARC countries are weak form efficient.

Keywords: exchange rates; market efficiency; variance ratio test; random walk; South Asian Association for Regional Cooperation; SAARC; foreign exchange markets; South Asia. (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ids:afasfa:v:1:y:2009:i:4:p:295-305

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