Regime change and weak form efficiency of South African foreign exchange markets

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.

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2005

Author dc:creator

• Lai, Kar Wing Kelvin

Advisor dc:contributor.advisor

• Ayogu, Melvin

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/12789

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/12789