This paper examines the validity of the efficient market hypothesis on the foreign exchange markets of South Asian Countries during the period 1999 to 2004. The descriptive statistics for exchange rates show frequency distributions are not normal. Though the return series on exchange rates are...

The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying two independent approaches, one based on the...

This paper examines market efficiency and asymmetric cointegration among the South Asian stock markets using monthly data from January 1998 to December 2013. The structural breaks and wavelet based unit root tests indicate that the markets are efficient at least in the weak form. We use...

In recent years, especially in the aftermath of the global financial meltdown, the performance of South Asia capital markets has attracted the attention of the researchers and investors across the globe. The resilient shown provides the impetus to examine the efficient market hypothesis in these...

We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.