• Evidence of market inefficiency and exchange rate predictability in Ghana

    Author(s):

    George Tweneboah#*, Ayim-Nyarko Amanfo? and Seyram Pearl Kumah?


    opokutweneboah@yahoo.com
    2024-08-01 08:27:00

    35 Downloads 58 Views

    Abstract

    The random walk behaviour of exchange rates in Ghana is explored by employing parametric and non-parametric variance ratio tests based on ranks and signs. The paper fills an important gap by using various time series techniques to investigate the efficiency of the foreign exchange market in Ghana. The conclusive evidence based on non-parametric variance ratio tests indicates that the behaviour of monthly Cedi/US dollar exchange rates is inconsistent with the random walk process and the weak-form efficient market hypothesis. This supports prior findings of the validity of long-run purchasing power parity and predictability of exchange rates in Ghana.

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