Weak-form efficiency of foreign exchange market in the organisation for economic cooperation and development countries: unit root test

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...

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Main Authors: Juliana, Ibrahim, Hartini, Ab Ghani, Safrul Izani, Mohd Salleh, Yasmiza, Long
Format: Article
Language:English
Published: 2011
Subjects:
HB Economic Theory
HJ Public Finance
Online Access:http://eprints.unisza.edu.my/2063/1/FH02-FESP-18-13175.pdf
http://eprints.unisza.edu.my/2063/
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Institution: Universiti Sultan Zainal Abidin
Language: English
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spelling my-unisza-ir.20632021-08-15T02:27:53Z http://eprints.unisza.edu.my/2063/ Weak-form efficiency of foreign exchange market in the organisation for economic cooperation and development countries: unit root test Juliana, Ibrahim Hartini, Ab Ghani Safrul Izani, Mohd Salleh Yasmiza, Long 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/2063/1/FH02-FESP-18-13175.pdf Juliana, Ibrahim and Hartini, Ab Ghani and Safrul Izani, Mohd Salleh and Yasmiza, Long (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. 1833-3850. 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
Juliana, Ibrahim
Hartini, Ab Ghani
Safrul Izani, Mohd Salleh
Yasmiza, Long
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 Juliana, Ibrahim
Hartini, Ab Ghani
Safrul Izani, Mohd Salleh
Yasmiza, Long
author_facet Juliana, Ibrahim
Hartini, Ab Ghani
Safrul Izani, Mohd Salleh
Yasmiza, Long
author_sort Juliana, Ibrahim
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/2063/1/FH02-FESP-18-13175.pdf
http://eprints.unisza.edu.my/2063/
_version_ 1709673137307648000

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