EconPapers    
Economics at your fingertips  
 

Efficiency of the foreign exchange markets in South Asian Countries

Abullah M. Noman () and Minhaz U. Ahmed
Additional contact information
Abullah M. Noman: , American International University-Bangladesh (AIUB)
Minhaz U. Ahmed: Southeast University, Bangladesh

AIUB Bus Econ Working Paper Series from American International University-Bangladesh (AIUB), Office of Research and Publications (ORP)

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 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.

Pages: 15
Date: 2008-06, Revised 2008-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://orp.aiub.edu/FileZone/abewp/orpadmin-2008- ... BUS-ECON-2008-18.pdf First version, (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:aiu:abewps:18

Access Statistics for this paper

More papers in AIUB Bus Econ Working Paper Series from American International University-Bangladesh (AIUB), Office of Research and Publications (ORP)
Bibliographic data for series maintained by Ziarat H. Khan ().

 
Page updated 2022-06-27
Handle: RePEc:aiu:abewps:18