10.4225/03/593618b27a0e8
Wickremasinghe, Guneratne B
Guneratne B
Wickremasinghe
Efficiency Of Foreign Exchange Markets: A Developing Country Perspective
Monash University
2017
Efficient market hypothesis
Japanese yen
Variance decomposition
monash:2099
2004
1959.1/2099
Sri Lanka
foreign exchange market
2017-06-06 02:51:29
Journal contribution
https://bridges.monash.edu/articles/journal_contribution/Efficiency_Of_Foreign_Exchange_Markets_A_Developing_Country_Perspective/5081026
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 co-integration, 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. However, the results provide evidence against the semi- strong version of the Efficient Market hypothesis. These results have important implications for government policy makers and participants in the foreign exchange market of Sri Lanka.