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.