Investigation of the efficiency of the Iranian foreign exchange market 1370 - 1378 (Weak-form test) (Case: Free foreign exchange market) مقاله

خلاصه ماشینی:

However, at the end of the period, due to the stability of foreign exchange policy procedures and the impact of market expectation formation, this test revealed acceptable degrees of weak efficiency. Based on the initial definitions after Fama, an efficient market is the result of the performance of a large number of profit-maximizing rational agents, and it is assumed that these individuals have all important current information available to them for free and actively compete with each other to estimate and guess the future values of monetary or financial assets. C-Strong form: a state where the current price, in addition to the past trend of influencing variables, also reflects other information related to determining expectations and exchange rates, such as current information and news of future developments of other variables. To test different forms of efficiency, various models have been presented for the market, in all of which a problem has been pointed out: "Due to the direct connection between the market efficiency hypothesis and individuals' expectations, researchers who reject the 'market efficiency hypothesis as a financial asset' cannot correctly distinguish whether this non-acceptance indicates market inefficiency, or results from (1)- Fighliski an error in estimating expected return and the level of societal expectations. Initially, for the entire period, the model was tested; the intercept and trend variables were not significant, and a strong correlation among (refer to page image)s was observed, which was resolved by applying four lags of the RWL variable (logarithm of the weekly exchange rate).