Regime change and weak form efficiency of South African foreign exchange markets
Includes bibliographical references. === The paper examines the empirical evidence about how a change in monetary policy affects return predictability. Samples of daily Rand/dollar. Rand/euro and Rand/sterling exchange rates for 1995 to 2005 were used. February 2000 was the date for a regime-shift a...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2015
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| Online Access: | http://hdl.handle.net/11427/12789 |
| Summary: | Includes bibliographical references. === The paper examines the empirical evidence about how a change in monetary policy affects return predictability. Samples of daily Rand/dollar. Rand/euro and Rand/sterling exchange rates for 1995 to 2005 were used. February 2000 was the date for a regime-shift and the sample is divided into two sample periods. By using the likelihood ratio test proposed in Dickey Fuller, I find that the regime-shift does help the foreign exchange market in South Africa to be efficient in that past exchange rates cannot help in forecasting future exchange rate movements. |
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