Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test
This paper will look at the weak-form efficiency of the foreign exchange market in thirty (30) Organization for Economic Cooperation and Development (OECD) countries. We employ Augmented Dickey-Fuller (ADF), Philip-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin analysis to examine for the uni...
Saved in:
Main Authors: | , , , |
---|---|
Format: | Article |
Language: | English |
Published: |
2011
|
Subjects: | |
Online Access: | http://eprints.unisza.edu.my/3110/1/FH02-FESP-18-13175.pdf http://eprints.unisza.edu.my/3110/ |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
id |
my-unisza-ir.3110 |
---|---|
record_format |
eprints |
spelling |
my-unisza-ir.31102022-09-13T05:44:32Z http://eprints.unisza.edu.my/3110/ Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test Ab Ghani, Hartini Mohd Salleh, Safrul Izani Long, Yasmiza Ibrahim, Juliana HB Economic Theory HJ Public Finance This paper will look at the weak-form efficiency of the foreign exchange market in thirty (30) Organization for Economic Cooperation and Development (OECD) countries. We employ Augmented Dickey-Fuller (ADF), Philip-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin analysis to examine for the unit root. Using weekly data for the period 2000 to 2007, the results for weak-form efficiency using ADF and PP tests indicate that the exchange rates studied follow random walks. The current value of the exchange rate cannot be predicted using its past values. In addition, the OECD foreign exchange market consistent with the weak-form of the Efficient Market Hypothesis. 2011-12 Article NonPeerReviewed text en http://eprints.unisza.edu.my/3110/1/FH02-FESP-18-13175.pdf Ab Ghani, Hartini and Mohd Salleh, Safrul Izani and Long, Yasmiza and Ibrahim, Juliana (2011) Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test. International Journal of Business and Management, 6 (6). pp. 55-65. ISSN 1833-3850 |
institution |
Universiti Sultan Zainal Abidin |
building |
UNISZA Library |
collection |
Institutional Repository |
continent |
Asia |
country |
Malaysia |
content_provider |
Universiti Sultan Zainal Abidin |
content_source |
UNISZA Institutional Repository |
url_provider |
https://eprints.unisza.edu.my/ |
language |
English |
topic |
HB Economic Theory HJ Public Finance |
spellingShingle |
HB Economic Theory HJ Public Finance Ab Ghani, Hartini Mohd Salleh, Safrul Izani Long, Yasmiza Ibrahim, Juliana Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test |
description |
This paper will look at the weak-form efficiency of the foreign exchange market in thirty (30) Organization for
Economic Cooperation and Development (OECD) countries. We employ Augmented Dickey-Fuller (ADF),
Philip-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin analysis to examine for the unit root. Using weekly
data for the period 2000 to 2007, the results for weak-form efficiency using ADF and PP tests indicate that the
exchange rates studied follow random walks. The current value of the exchange rate cannot be predicted using its
past values. In addition, the OECD foreign exchange market consistent with the weak-form of the Efficient Market
Hypothesis. |
format |
Article |
author |
Ab Ghani, Hartini Mohd Salleh, Safrul Izani Long, Yasmiza Ibrahim, Juliana |
author_facet |
Ab Ghani, Hartini Mohd Salleh, Safrul Izani Long, Yasmiza Ibrahim, Juliana |
author_sort |
Ab Ghani, Hartini |
title |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test |
title_short |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test |
title_full |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test |
title_fullStr |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test |
title_full_unstemmed |
Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test |
title_sort |
weak-form efficiency of foreign exchange market in the organisation for economic cooperation and development countries: unit root test |
publishDate |
2011 |
url |
http://eprints.unisza.edu.my/3110/1/FH02-FESP-18-13175.pdf http://eprints.unisza.edu.my/3110/ |
_version_ |
1744358482278088704 |
score |
13.149126 |