Efficiency of emerging forex markets during the American and European quantitative easing periods

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dc.contributor.authorStevens, Darion
dc.date.accessioned2020-12-05T16:11:05Z
dc.date.available2020-12-05T16:11:05Z
dc.date.issued2020
dc.descriptionA research report submitted in fulfilment of the requirements for the degree of Masters of Management in Finance and Investment (MMFI) to the Faculty of Commerce, Law and Management, Wits Business School, University of the Witwatersrand, Johannesburg, 2020en_ZA
dc.description.abstractThis research report investigated the efficiency of BRICS country foreign exchange markets during the American and European Quantitative Easing (QE) Periods. Market efficiency tests included autocorrelation, unit root, variance ratio, co-integration, and uncovered interest parity (UIP) testing. UIP tests indicated that the currency pairs investigated are not strong form efficient and that market efficiency diminished for US cross pairs during QE. The research also highlights changes in efficiency state prior to and post QE for the cross-pairs studied.en_ZA
dc.description.librarianTL (2020)en_ZA
dc.facultyFaculty of Commerce, Law and Managementen_ZA
dc.identifier.urihttps://hdl.handle.net/10539/30319
dc.language.isoenen_ZA
dc.rights.holderUniversity of the Witswatersrand, Johannesburg
dc.schoolWits Business Schoolen_ZA
dc.subjectForex
dc.subjectForex markets
dc.subjectEUROPEAN
dc.subjectAMERICAN
dc.subjectBRICS
dc.subjectForeign exchange
dc.subjectAmerican and European Quantitative Easing
dc.subject.otherSDG-8: Decent work and economic growth
dc.titleEfficiency of emerging forex markets during the American and European quantitative easing periodsen_ZA
dc.typeDissertationen_ZA

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