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

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dc.contributor.advisorAyogu, Melvinen_ZA
dc.contributor.authorLai, Kar Wing Kelvinen_ZA
dc.date.accessioned2015-05-13T14:16:51Z
dc.date.available2015-05-13T14:16:51Z
dc.date.issued2005en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationLai, K. W. K. (2005). <i>Regime change and weak form efficiency of South African foreign exchange markets</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/12789en_ZA
dc.identifier.chicagocitationLai, Kar Wing Kelvin. <i>"Regime change and weak form efficiency of South African foreign exchange markets."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2005. http://hdl.handle.net/11427/12789en_ZA
dc.identifier.citationLai, K. 2005. Regime change and weak form efficiency of South African foreign exchange markets. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Lai, Kar Wing Kelvin AB - 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 &#64257;nd 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. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - Regime change and weak form efficiency of South African foreign exchange markets TI - Regime change and weak form efficiency of South African foreign exchange markets UR - http://hdl.handle.net/11427/12789 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/12789
dc.identifier.vancouvercitationLai KWK. Regime change and weak form efficiency of South African foreign exchange markets. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12789en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomicsen_ZA
dc.titleRegime change and weak form efficiency of South African foreign exchange marketsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMSocScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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