Browsing by Author "Lai, Kar Wing Kelvin"

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    Regime change and weak form efficiency of South African foreign exchange markets
    (2005) Lai, Kar Wing Kelvin; Ayogu, Melvin
    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.