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
DOI
10.33107/ubt-ic.2015.17
Recommended Citation
Liko, Rozana; Kashuri, Artion; and Ramosaco, Miftar, "Testing the martingales property of daily exchange rate" (2015). UBT International Conference. 17.
https://knowledgecenter.ubt-uni.net/conference/2015/all-events/17
Included in
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.