Regime change and weak form efficiency of South African foreign exchange markets

Master Thesis

2005

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http://hdl.handle.net/11427/12789
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thesis_hum_2005_lai_kwk (1).pdf (3.1 MB)
Authors
Lai, Kar Wing Kelvin
Supervisors
Ayogu, Melvin
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University of Cape Town

Department
School of Economics
Faculty
Faculty of Commerce
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Abstract
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.
Description

Includes bibliographical references.

Keywords
Economics

Reference:

Lai, K. 2005. Regime change and weak form efficiency of South African foreign exchange markets. University of Cape Town.

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