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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Emiliya Stepanova
Testing the Russian Foreign Exchange Market on Weak-form Efficiency
2017
This paper studies weak-form efficiency of the Russian Foreign exchange market from 01/01/2010 to 01/01/2017, by conducting Augmented Dickey-Fuller (ADF), Philip-Perron (PP), and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) tests to examine for the unit root. The results, which were obtained, using ADF and KPSS tests, state that all currencies follow random walk process. While using PP test, it was revealed that only Chinese Yuan does not follow random walk, but all other currencies do. Therefore, it can be said it is impossible to predict the value of the exchange rate, using its past values. This result does not contradict the efficient market hypothesis of the weak-form.

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