Template-Type: ReDIF-Article 1.0
Author-Name: Guneratne B Wickremasinghe 
Author-Workplace-Name: School of Accounting and Finance and Centre for Strategic Economic Studies Victoria University, 300, Flinders Street, Melbourne, Victoria 8001, Australia 
Author-Email: guneratne.wickremasinghe@vu.edu.au
Title: Predictability of Exchange Rates in Sri Lanka: A Test of the Efficient Market Hypothesis
Abstract: This study examined the validity of the weak and semi-strong forms of the efficient market hypothesis (EMH) for the foreign exchange market of Sri Lanka. Monthly exchange rates for four currencies during the floating exchange rate regime were used in the empirical tests. Using a battery of tests, empirical results indicate that the current values of the four exchange rates can be predicted from their past values. Further, the tests of semi-strong form efficiency indicate that exchange rate pairs are significantly correlated at different leads and lags. These results are not consistent with the weak and semi-strong versions of the EMH. The above results have important implications for government policy makers and participants of the foreign exchange market of Sri Lanka. 
Keywords: efficient market hypothesis, Sri Lanka, US dollar, cross-correlation test, foreign exchange market
Journal: Asian Academy of Management Journal of Accounting and Finance
Pages: 43-59
Volume: 3
Issue: 2
Year: 2007
File-URL: http://web.usm.my/journal/aamjaf/vol 3-2-2007/3-2-3.pdf
File-Format: Application/pdf
Handle: RePEc:usm:journl:aamjaf00302_43-59