Return Predictability: Evidence from Nigeria's Foreign Exchange Parallel Market

bibliographic database
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Periodical article

Title:	Return Predictability: Evidence from Nigeria's Foreign Exchange Parallel Market
Author:	Ayogu, Melvin D.
Year:	1997
Periodical:	Journal of African Economies
Volume:	6
Issue:	2
Pages:	296-313
Language:	English
Geographic term:	Nigeria
Subjects:	foreign exchange informal sector Economics and Trade
External link:	https://jae.oxfordjournals.org/content/6/2/296.full.pdf
Abstract:	Using a simple method that is based on the likelihood ratio test of D. Dickey and W. Fuller (1981), the author tests for predictability of short-run currency movements in Nigeria's foreign exchange parallel market. The parallel market data-sets used consist of daily observations on US dollar and sterling, and weekly and monthly observations on the US dollar, sterling, mark, and the French franc during the period 1 January 1993 to 31 December 1993. The intuition is that in an efficient market with unpredictable information arrival, asset prices should follow a martingale process over short-term intervals. The author finds that the market is not information-efficient with respect to past prices. Therefore, short-term returns are predictable. App., bibliogr., notes, sum.