Foreign Exchange Market Efficiency In Botswana

Matebejana, Gofaone; Motlaleng, G. R.; Juana, James S.

doi:10.1515/rebs-2017-0050

Cited by 9 publications

(3 citation statements)

References 11 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Matebejana, Motlaleng, and Juana (2017) tested EMH for Botswana using a bilateral monthly exchange rate of Botswana's currency pula against South African rand, U.S. Dollar, British Pound, and Yen between 2000 and 2015. Using unit root tests, they verified weak‐form EMH in all series except for the British Pound.…”

Section: Literature Reviewmentioning

confidence: 99%

Efficient or adaptive? Evidence from Indonesian forex market

Kumar

Anandarao

2020

Journal of Public Affairs

View full text Add to dashboard Cite

We test the possible presence of weak‐form informational efficiency in the Indonesian forex (FX) market using daily bilateral exchange rate return of Indonesian Rupiah against U.S. Dollar from January 24, 2001 to March 29, 2019. First, we employ a battery of statistical tests including variance ratio tests, tests for linear dependence and Hurst coefficient on the full dataset as well as on four non‐overlapping sub‐samples of equal length. The tests provide a mixed result, whereas Hurst coefficient values identify long‐run persistence in the market. Based on this evidence, we test the possibility of adaptive nature of Indonesian FX market. The adaptive market hypothesis is tested using the newly proposed adaptive index (AI) in order to quantify the degree of information inefficiency in the Indonesian FX market at any given point. The AI values conclusively prove that Indonesian FX market is adaptive and periodically switches between states of efficiency and inefficiency. Moreover, various macroeconomic and financial events influencing Indonesian FX market efficiency are identified.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Efficient or adaptive? Evidence from Indonesian forex market

Kumar

Anandarao

2020

Journal of Public Affairs

View full text Add to dashboard Cite

show abstract

“…The author found that the market was consistent with the W-form of EMH but not with the SS-form of EMH and the investors in this market could earn a supernormal profit in short-run as well as in long-run. Matebejana et al (2017) first time investigated the efficiency of FEM in Botswana taking monthly exchange rate data of the South African rand, the American dollar, British pound and the Japanese yen against Botswana's currency pula covering the period 2000:01 to 2015:12. By using unit root tests (ADF, PP, KPSS) they have instituted that the FEM of Botswana was showed the evidence of the EMH in W-form except for the British pound, and by using Johansen cointegration test, they had not concluded about the existence of the SS-form of the EMH in the FEM of Botswana.…”

Section: Literature Reviewmentioning

confidence: 99%

Untitled

2018

IJEFI

View full text Add to dashboard Cite

Efficiency in a foreign exchange market (FEM) is very essential for a developing economy like Bangladesh as the foreign exchange rates play a critical role to determine the various macroeconomic policies and issues of an economy. Thus the main objective of this paper is to investigate the efficiency of the FEM of Bangladesh. Statistics that have worn in this paper comprises of nominal daily exchange rates (spot) of seven bilateral currency rates in opposition to the Bangladeshi currency Taka over the period 1 st January 2010 to 30 th November 2017 obtained from the website of Bangladesh Bank. The unit root test and the cointegration test are run by econometric software to look into the efficiency of the FEM of Bangladesh. The concluding findings indicate that all the seven exchange rates succeed the random walk hypothesis and this is the verification of the weak form of efficiency. Moreover, the cointegration scrutiny depicts there is no indication of the semi-strong form of efficiency in the FEM of Bangladesh.

show abstract

“…The most relevant contribution is related to the study of the reversal of the average in the international exchange markets, aiming to understand the different predictability between them, in the context of the global pandemic . As far as we know the authors Ning, Wang, and Su (2017), Matebejana, Motlaleng, and Juana (2017), Njindan Iyke (2019), Chaudhry, Hanif, Hassan, and Chani (2019), analyzed the reversal to the average in the foreign exchange markets, testing the random walk and, efficient market hypotheses, in its weak form, but the research questions, the markets analyzed, the sampling period, and the estimation models were different from the following in this trial.…”

Section: Introductionmentioning

confidence: 99%

The Impact of Covid-19 on Exchange Rate Volatility: An Econophysics Approach

Dias¹,

Santos²

2020

LIMEN - International Scientific-Business Conference - Leadership, Innovation, Management and Economics: Integrated Politics Of

View full text Add to dashboard Cite

This paper aims to analyze the efficiency, in its weak form, between exchange rates, US-RMB, US-EUR, US-JPY, US-MYR, US-PHP, US-SGD, US-THB, US-CHF, US-GBP, in the period from July 1, 2019 to October 27, 2020. To perform this analysis, different approaches were undertaken to assess whether: (i) the impact of the global pandemic created long memories in international foreign exchange markets? The results of the exponents Detrended Fluctuation Analysis (DFA) show that the exchange rates US-THB (0.60), US-MYR (0.59), US-SGD (0. 59), present long memories, to a lesser extent the exchange pairs US-GBP (0.56), US-EUR (0.53). On the other side, exchange rates US-RMB (0. 47), US-JPY (0. 43), US-CHF (0. 46), US-PHP (0. 38) show anti persistence, while the Detrended cross-correlation coefficient (𝑝𝐷𝐶𝐶𝐴) results show 19 average correlation coefficients (≌ 0.333 → ≌ 0.666), 10 weak correlation coefficient (≌ 0,000 → ≌ 0.333), 7 strong non-trend cross correlation coefficients (0.666→ ≌ 1,000). In conclusion, we show that the exchange pairs analyzed show some predictability, that is, there are levels of arbitrage that can be explored by investors; we also found that the exchange rates analyzed have characteristics of diversification, due to the low autocorrelation between markets. The objective of this study was not to analyze abnormal profitability by investors without incurring additional risk.

show abstract

Foreign Exchange Market Efficiency In Botswana

Abstract: Wickremasinghe (2008) and Çiçek (2014) in which weak form was found to exist whilst the semi-strong form was found not to exist. This paper has filled an important gap as it is the first study to investigate the efficiency of the foreign exchange market in Botswana.

Cited by 9 publications

References 11 publications

Efficient or adaptive? Evidence from Indonesian forex market

Efficient or adaptive? Evidence from Indonesian forex market

Untitled

The Impact of Covid-19 on Exchange Rate Volatility: An Econophysics Approach

Contact Info

Product

Resources

About