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Regime change and weak form efficiency of South African foreign exchange markets
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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School of Economics
2015
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| _version_ | 1867614239941722112 |
|---|---|
| access_status_str | Open Access |
| author | Lai, Kar Wing Kelvin |
| author2 | Ayogu, Melvin |
| author_browse | Ayogu, Melvin Lai, Kar Wing Kelvin |
| author_facet | Ayogu, Melvin Lai, Kar Wing Kelvin |
| author_sort | Lai, Kar Wing Kelvin |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/12789 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:48:53.587Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/12789 Regime change and weak form efficiency of South African foreign exchange markets Lai, Kar Wing Kelvin Ayogu, Melvin Economics Includes bibliographical references. The paper examines the empirical evidence about how a change in monetary policy affects return predictability. Samples of daily Rand/dollar. Rand/euro and Rand/sterling exchange rates for 1995 to 2005 were used. February 2000 was the date for a regime-shift and the sample is divided into two sample periods. By using the likelihood ratio test proposed in Dickey Fuller, I find that the regime-shift does help the foreign exchange market in South Africa to be efficient in that past exchange rates cannot help in forecasting future exchange rate movements. 2015-05-13T14:16:51Z 2015-05-13T14:16:51Z 2005 Master Thesis Masters MSocSc http://hdl.handle.net/11427/12789 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Economics Lai, Kar Wing Kelvin Regime change and weak form efficiency of South African foreign exchange markets |
| thesis_degree_str | Master's |
| title | Regime change and weak form efficiency of South African foreign exchange markets |
| title_full | Regime change and weak form efficiency of South African foreign exchange markets |
| title_fullStr | Regime change and weak form efficiency of South African foreign exchange markets |
| title_full_unstemmed | Regime change and weak form efficiency of South African foreign exchange markets |
| title_short | Regime change and weak form efficiency of South African foreign exchange markets |
| title_sort | regime change and weak form efficiency of south african foreign exchange markets |
| topic | Economics |
| url | http://hdl.handle.net/11427/12789 |
| work_keys_str_mv | AT laikarwingkelvin regimechangeandweakformefficiencyofsouthafricanforeignexchangemarkets |