| dc.contributor.author | Kisaka, Sifunjo E. | |
| dc.contributor.author | Ngugi, W. Rose | |
| dc.contributor.author | Ganesh, Pokhariyal | |
| dc.contributor.author | Wainaina, Gituro | |
| dc.date.accessioned | 2013-03-14T12:15:21Z | |
| dc.date.issued | 2008 | |
| dc.identifier.citation | Economics Bulletin, Vol. 14, No. 2 pp. 1-13 | en |
| dc.identifier.uri | http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/13868 | |
| dc.description.abstract | This study examined the Efficiency Market hypothesis in its weak form using run tests, unit
root tests and the Ljung-Box Q-statistics. The motivation was to determine whether foreign
exchange rate returns follow a random walk. The data covered the period starting January
1994 to June 2007 for the daily closing spot price of the Kenya shillings per US dollar
exchange rate. The main finding of this study is that the foreign exchange rate market is not
efficient. The results showed that most of the rejections are due to significant patterns, trend
stationarity and autocorrelation in foreign exchange returns. This is attributed to both
exchange rate undershooting and overshooting phenomena | en |
| dc.description.sponsorship | University of Nairobi | en |
| dc.language.iso | en | en |
| dc.title | An analysis of the efficiency of the foreign exchange market in Kenya | en |
| dc.type | Article | en |
| local.publisher | School of business | en |
