EFFICIENCY OF FOREIGN EXCHANGE MARKETS: A DEVELOPING COUNTRY PERSPECTIVE

EFFICIENCY OF FOREIGN EXCHANGE MARKETS: A DEVELOPING COUNTRY PERSPECTIVE

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 tes...

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Bibliographic Details
Main Author: Guneratne B Wickremasinghe
Format: Article
Language:English
Published: Universiti Sains Malaysia 2005-01-01
Series:Asian Academy of Management Journal
Subjects:
efficient market hypothesis (EMH)
Sri Lanka
foreign exchange market
Japanese yen
variance decomposition
Online Access:http://www.usm.my/aamj/10.1.2005/AAMJ%2010-1-1.pdf

Internet

http://www.usm.my/aamj/10.1.2005/AAMJ%2010-1-1.pdf

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