文章基本信息

标题：Efficiency of the Black Foreign Exchange Market
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作者：Ali Farhan Chaudhry ; Mian Muhammd Hanif ; Sameera Hassan 等
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2019
卷号：11
期号：2
页码：p165
DOI：10.5539/ijef.v11n2p165
语种：English
出版社：Canadian Center of Science and Education
摘要：This empirical study is first of its nature to examine the weak-form of efficiency for unofficial foreign exchange market of Pakistan proxied by Japanese Yen (JPY/PKR), Swiss Franc (CHF/PKR), British Pound (GBP/PKR), and US Dollar (USD/PKR) exchange rates. For this we have employed Ljung Box Q-test, unit root tests including Dickey-Fuller (Dickey 1979), Augmented Dickey-Fuller (Dickey 1981) tests and Phillips and Perron (1988) test, Durbin Watson test, Runs-test, and Variance ratio test by using unofficial foreign exchange rate time series of Yen/PKR, CHF/PKR, GBP/PKR and USD/PKR from 1994M07 to 2001M06. Empirical results lead to the conclusion that the unofficial foreign exchange market of Pakistan is weak-form efficiency. The implications of this empirical research are of great importance for designing foreign exchange policy i.e. policy makers (be it accounting, export/import or public policy makers) are to consider fluctuations in unofficial foreign exchange rates while designing official foreign exchange rate policy of developing country like Pakistan. Further, policymakers can enhance the efficiency of official foreign exchange market by intervention subject to a widening of unofficial foreign exchange premium beyond a certain limit in developing countries like Pakistan.