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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Main Author:	Lai, Kar Wing Kelvin
Other Authors:	Ayogu, Melvin
Format:	Dissertation
Language:	English
Published:	University of Cape Town 2015
Subjects:	Economics
Online Access:	http://hdl.handle.net/11427/12789

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spelling	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-127892021-08-19T05:09:12Z Regime change and weak form efficiency of South African foreign exchange markets Lai, Kar Wing Kelvin Ayogu, Melvin Economics 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. 2015-05-13T14:16:51Z 2015-05-13T14:16:51Z 2005 Master Thesis Masters MSocSc http://hdl.handle.net/11427/12789 eng application/pdf University of Cape Town Faculty of Commerce School of Economics
collection	NDLTD
language	English
format	Dissertation
sources	NDLTD
topic	Economics
spellingShingle	Economics Lai, Kar Wing Kelvin Regime change and weak form efficiency of South African foreign exchange markets
description	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.
author2	Ayogu, Melvin
author_facet	Ayogu, Melvin Lai, Kar Wing Kelvin
author	Lai, Kar Wing Kelvin
author_sort	Lai, Kar Wing Kelvin
title	Regime change and weak form efficiency of South African foreign exchange markets
title_short	Regime change and weak form efficiency of South African foreign exchange markets
title_full	Regime change and weak form efficiency of South African foreign exchange markets
title_fullStr	Regime change and weak form efficiency of South African foreign exchange markets
title_full_unstemmed	Regime change and weak form efficiency of South African foreign exchange markets
title_sort	regime change and weak form efficiency of south african foreign exchange markets
publisher	University of Cape Town
publishDate	2015
url	http://hdl.handle.net/11427/12789
work_keys_str_mv	AT laikarwingkelvin regimechangeandweakformefficiencyofsouthafricanforeignexchangemarkets
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Regime change and weak form efficiency of South African foreign exchange markets

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