Martingales Property in Albania Exchange Market

Authors

  • Rozana Liko
  • Artion Kashuri

Abstract

The aim of this paper is to test whether the Albanian exchange rate market is weak form efficient by studying the statistical behavior of daily Euro/All and USD/All exchange rate during the period January 05, 2010 – April 30, 2015, which are the most influential currency in Albania market. The study seeks to examine whether this currencies follow each a martingale. The unit root tests, and variation ratio test are used. The various analytical tests implemented in the study provide evidence of non martingale property of exchange market in Albania.

DOI: 10.5901/ajis.2016.v5n1p93

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Published

10-03-2016

Issue

Section

Research Articles

How to Cite

Martingales Property in Albania Exchange Market. (2016). Academic Journal of Interdisciplinary Studies, 5(1), 93. https://www.richtmann.org/journal/index.php/ajis/article/view/8954