Efficiency of the Foreign Exchange Market in Mauritius

Medha Kisto, Sonam Ummersingh


This paper uses daily observations for United States Dollar for the period July 2001 to July 2014 to examine the efficiency of the Mauritian Foreign Exchange market. To examine the randomness of the Mauritian Foreign Exchange market, we employed both parametric and nonparametric tests. The parametric tests include the Augmented Dickey-Fuller unit root tests, while the nonparametric tests include Phillips-Peron unit root test and Kwiatkowski-Phillips-Schmidt-Shin. Moreover, we run the different unit root tests on natural and log terms of the spot exchange rates. The unit root tests reveal that the Mauritian foreign exchange market is weakly efficient. This indicates that the values for earlier period cannot be used to forecast the present values of the exchange rate.


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