Session

Management, Business and Economics

Description

The purpose of this paper is to test whether the Albanian exchange rate market is weak form efficient by studying the statistical behavior of daily Euro and USD exchange rate against Albanian Lekё, which are the most influential currency in Albania market, during the period January 05, 2010 – April 30, 2015. The study seeks to examine whether this currencies follow each a martingale. The unit root tests (individually and panel) and variation ratio test are used. The various analytical tests implemented in the study provide evidence of non-martingale property of exchange market in Albania.

Keywords:

Martingale, Unit root test, Variation ratio test, Exchange rate, Weak form efficiency

Proceedings Editor

Edmond Hajrizi

ISBN

978-9951-550-12-3

First Page

21

Last Page

25

Location

Durres, Albania

Start Date

7-11-2015 9:00 AM

End Date

7-11-2015 5:00 PM

Included in

Business Commons

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Nov 7th, 9:00 AM Nov 7th, 5:00 PM

Testing the martingales property of daily exchange rate

Durres, Albania

The purpose of this paper is to test whether the Albanian exchange rate market is weak form efficient by studying the statistical behavior of daily Euro and USD exchange rate against Albanian Lekё, which are the most influential currency in Albania market, during the period January 05, 2010 – April 30, 2015. The study seeks to examine whether this currencies follow each a martingale. The unit root tests (individually and panel) and variation ratio test are used. The various analytical tests implemented in the study provide evidence of non-martingale property of exchange market in Albania.