150 research outputs found
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach
Modeling UK Natural Gas Prices When Gas Prices Periodically Decouple from the Oil Price
Analyzing the variation of embedding dimension of solar and geomagnetic activity indices during geomagnetic storm time
Efficiency Of Foreign Exchange Markets: A Developing Country Perspective
This study tests weak and semi-strong form efficiency of the foreign exchange market in
Sri Lanka during the recent float using six bilateral exchange rates. Weak-form efficiency
is examined using unit root tests while semi-strong form efficiency is tested using cointegration, Granger causality tests and variance decomposition analysis. Results
indicate that the Sri Lankan foreign exchange market is consistent with the weak-form of
the efficient market hypothesis (EMH). However, the results provide evidence against the
semi-strong version of the EMH. These results have important implications for
government policy makers and participants in the foreign exchange market of Sri Lank
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