An analysis of the efficiency of the foreign exchange market in Kenya

dc.contributor.author	Kisaka, Sifunjo E
dc.contributor.author	Rose, Ngugi W
dc.contributor.author	Ganesh, Pokhariyal
dc.contributor.author	Gituro, Wainaina
dc.date.accessioned	2013-03-14T12:19:36Z
dc.date.issued	2008
dc.identifier.citation	Economics Bulletin, Vol. 14, No. 2 pp. 1-13	en
dc.identifier.uri	http://economicsbulletin.vanderbilt.edu/2008/volume14/EB-08N20003A.pdf
dc.identifier.uri	http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/13873
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.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, University of Nairobi	en
local.publisher	School of Economics, University of Nairobi	en
local.publisher	School of Mathematics, University of Nairobi	en