The Efficiency of Exchange Rate Market: A Case Study on Pakistan

Zobia Israr Ahmed

doi:doi:10.11648/j.ijefm.20150302.17

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The Efficiency of Exchange Rate Market: A Case Study on Pakistan

Zobia Israr Ahmed

Published in International Journal of Economics, Finance and Management Sciences (Volume 3, Issue 2)

Received: 20 February 2015 Accepted: 13 March 2015 Published: 18 March 2015

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Abstract

This study investigates the efficiency of foreign exchange market in Pakistan. Based on monthly data during the period of July 2000 to October 2012 for 13 currencies against the Pak Rupee, three techniques of regression analysis are applied. The result of regression on trended data portrayed that unbiased hypothesis does not hold in the exchange rate market owing to serial correlation and non-stationary time-series data. The regression analysis with de-trended data remarked exchange rate market of Pakistan is neither efficient nor speculative. The findings of regression analysis with orthogonality experiment explored incidence of bandwagon behavior in selected currencies. The results of this study suggested that concerned authorities should reinforce information dissemination procedure and regulate unofficial currency markets activities for maintaining the efficiency of foreign exchange market in Pakistan.

Published in	International Journal of Economics, Finance and Management Sciences (Volume 3, Issue 2)
DOI	10.11648/j.ijefm.20150302.17
Page(s)	125-137
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Pakistan Exchange Rate Market, Market Efficiency, Fama Regression Analysis

References

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Zobia Israr Ahmed. (2015). The Efficiency of Exchange Rate Market: A Case Study on Pakistan. International Journal of Economics, Finance and Management Sciences, 3(2), 125-137. https://doi.org/10.11648/j.ijefm.20150302.17

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ACS Style

Zobia Israr Ahmed. The Efficiency of Exchange Rate Market: A Case Study on Pakistan. Int. J. Econ. Finance Manag. Sci. 2015, 3(2), 125-137. doi: 10.11648/j.ijefm.20150302.17

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AMA Style

Zobia Israr Ahmed. The Efficiency of Exchange Rate Market: A Case Study on Pakistan. Int J Econ Finance Manag Sci. 2015;3(2):125-137. doi: 10.11648/j.ijefm.20150302.17

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@article{10.11648/j.ijefm.20150302.17,
  author = {Zobia Israr Ahmed},
  title = {The Efficiency of Exchange Rate Market: A Case Study on Pakistan},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {3},
  number = {2},
  pages = {125-137},
  doi = {10.11648/j.ijefm.20150302.17},
  url = {https://doi.org/10.11648/j.ijefm.20150302.17},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20150302.17},
  abstract = {This study investigates the efficiency of foreign exchange market in Pakistan. Based on monthly data during the period of July 2000 to October 2012 for 13 currencies against the Pak Rupee, three techniques of regression analysis are applied. The result of regression on trended data portrayed that unbiased hypothesis does not hold in the exchange rate market owing to serial correlation and non-stationary time-series data. The regression analysis with de-trended data remarked exchange rate market of Pakistan is neither efficient nor speculative. The findings of regression analysis with orthogonality experiment explored incidence of bandwagon behavior in selected currencies. The results of this study suggested that concerned authorities should reinforce information dissemination procedure and regulate unofficial currency markets activities for maintaining the efficiency of foreign exchange market in Pakistan.},
 year = {2015}
}

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TY  - JOUR
T1  - The Efficiency of Exchange Rate Market: A Case Study on Pakistan
AU  - Zobia Israr Ahmed
Y1  - 2015/03/18
PY  - 2015
N1  - https://doi.org/10.11648/j.ijefm.20150302.17
DO  - 10.11648/j.ijefm.20150302.17
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 125
EP  - 137
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20150302.17
AB  - This study investigates the efficiency of foreign exchange market in Pakistan. Based on monthly data during the period of July 2000 to October 2012 for 13 currencies against the Pak Rupee, three techniques of regression analysis are applied. The result of regression on trended data portrayed that unbiased hypothesis does not hold in the exchange rate market owing to serial correlation and non-stationary time-series data. The regression analysis with de-trended data remarked exchange rate market of Pakistan is neither efficient nor speculative. The findings of regression analysis with orthogonality experiment explored incidence of bandwagon behavior in selected currencies. The results of this study suggested that concerned authorities should reinforce information dissemination procedure and regulate unofficial currency markets activities for maintaining the efficiency of foreign exchange market in Pakistan.
VL  - 3
IS  - 2
ER  -

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Author Information

Zobia Israr Ahmed

Department of Economics, University of Karachi, Karachi, Pakistan

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Zobia Israr Ahmed. (2015). The Efficiency of Exchange Rate Market: A Case Study on Pakistan. International Journal of Economics, Finance and Management Sciences, 3(2), 125-137. https://doi.org/10.11648/j.ijefm.20150302.17

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ACS Style

Zobia Israr Ahmed. The Efficiency of Exchange Rate Market: A Case Study on Pakistan. Int. J. Econ. Finance Manag. Sci. 2015, 3(2), 125-137. doi: 10.11648/j.ijefm.20150302.17

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AMA Style

Zobia Israr Ahmed. The Efficiency of Exchange Rate Market: A Case Study on Pakistan. Int J Econ Finance Manag Sci. 2015;3(2):125-137. doi: 10.11648/j.ijefm.20150302.17

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@article{10.11648/j.ijefm.20150302.17,
  author = {Zobia Israr Ahmed},
  title = {The Efficiency of Exchange Rate Market: A Case Study on Pakistan},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {3},
  number = {2},
  pages = {125-137},
  doi = {10.11648/j.ijefm.20150302.17},
  url = {https://doi.org/10.11648/j.ijefm.20150302.17},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20150302.17},
  abstract = {This study investigates the efficiency of foreign exchange market in Pakistan. Based on monthly data during the period of July 2000 to October 2012 for 13 currencies against the Pak Rupee, three techniques of regression analysis are applied. The result of regression on trended data portrayed that unbiased hypothesis does not hold in the exchange rate market owing to serial correlation and non-stationary time-series data. The regression analysis with de-trended data remarked exchange rate market of Pakistan is neither efficient nor speculative. The findings of regression analysis with orthogonality experiment explored incidence of bandwagon behavior in selected currencies. The results of this study suggested that concerned authorities should reinforce information dissemination procedure and regulate unofficial currency markets activities for maintaining the efficiency of foreign exchange market in Pakistan.},
 year = {2015}
}

Copy | Download

TY  - JOUR
T1  - The Efficiency of Exchange Rate Market: A Case Study on Pakistan
AU  - Zobia Israr Ahmed
Y1  - 2015/03/18
PY  - 2015
N1  - https://doi.org/10.11648/j.ijefm.20150302.17
DO  - 10.11648/j.ijefm.20150302.17
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 125
EP  - 137
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20150302.17
AB  - This study investigates the efficiency of foreign exchange market in Pakistan. Based on monthly data during the period of July 2000 to October 2012 for 13 currencies against the Pak Rupee, three techniques of regression analysis are applied. The result of regression on trended data portrayed that unbiased hypothesis does not hold in the exchange rate market owing to serial correlation and non-stationary time-series data. The regression analysis with de-trended data remarked exchange rate market of Pakistan is neither efficient nor speculative. The findings of regression analysis with orthogonality experiment explored incidence of bandwagon behavior in selected currencies. The results of this study suggested that concerned authorities should reinforce information dissemination procedure and regulate unofficial currency markets activities for maintaining the efficiency of foreign exchange market in Pakistan.
VL  - 3
IS  - 2
ER  -

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