Efficiency of Foreign Exchange Markets: Evidence from South Asian Countries

The India Journal of Economics, Vol . 88, No. 348, pp. 17-33, July 2007

Posted: 31 Oct 2010

See all articles by Khan Masood Ahmad

Khan Masood Ahmad

affiliation not provided to SSRN

Shahid Ashraf

Jamia Millia Islamia (A Central University)

Shahid Ahmed

Jamia Millia Islamia (A Central University) - Economics

Date Written: 2007

Abstract

This paper examines the validity of the efficient market hypothesis on the foreign exchange markets of South Asian Countries during the period 1999 to 2004. The descriptive statistics for exchange rates show frequency distributions are not normal. Though the return series on exchange rates are stationary but the ACFs are highly significant at various lags and Ljung-Box (Q) test rejects the joint null hypothesis of zero auto-correlations. The non-parametric Run-test also indicates towards the rejection of the random walk model. The K-S Z-test indicates that the frequency distribution of the underlying series does not tit normal distribution. The BDS-test shows the evidence of non-linear relationship in the return series. Therefore, the South Asian foreign exchange markets in our sample over the period of study are not efficient in weak form.

Suggested Citation

Ahmad, Khan Masood and Ashraf, Shahid and Ahmed, Shahid, Efficiency of Foreign Exchange Markets: Evidence from South Asian Countries (2007). The India Journal of Economics, Vol . 88, No. 348, pp. 17-33, July 2007. Available at SSRN: https://ssrn.com/abstract=1700547

Khan Masood Ahmad

affiliation not provided to SSRN ( email )

Shahid Ashraf

Jamia Millia Islamia (A Central University) ( email )

Jamia Nagar, New Delhi
Delhi, Delhi 110025
India

Shahid Ahmed (Contact Author)

Jamia Millia Islamia (A Central University) - Economics ( email )

Jamia Nagar
New Delhi, 110025
India

HOME PAGE: http://jmi.ac.in/economics/faculty-members/Prof_Shahid_Ahmed-1783

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