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Publication Type
Conference Proceedings
UWI Author(s)
Author, Analytic
Ghartey, Edward
Author Role
n/a
Author Affiliation
Department of Economics
Paper/Section Title
Random walk as a universal test of weak-form foreign exchange market efficiency: A theoretical proof
Medium Designator
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Editor/Compiler
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Editor/Compiler Role
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Proceedings Title
Research Department Bank of Accra, Ghana
Date of Meeting
July 16, 2002
Place of Meeting
Accra, Ghana
Place of Publication
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Date of Publication
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Date of Copyright
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Volume ID
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Location in Work
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Packaging Method
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Series Editor
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Series Editor Role
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Series Title
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Series Volume ID
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Location/URL
http:; www.ffe.esc-lille.com/abstracts_vol1_no1.htm
ISBN
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Notes
Paper also presented in the Department of Economics, UWI, November 2001
Abstract
Proves that the domestic or national value of foreign exchange earnings from holding foreign assets (bonds and bank deposits accounts) follows a Martingale Process. It then employs the Martingale Process and the definition of rational expectation to prove that the pure random walk spot exchange rate is an adequate means to universally test weak-form foreign exchange market efficiency. This makes it possible for countries without forward markets to test for weak-form efficiency of their foreign exchange markets.....
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