2021
DOI: 10.1111/1467-8268.12538
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Efficiency of Tanzania's foreign exchange market

Abstract: This paper examines market efficiency in the foreign exchange market in Tanzania. A nonlinear Markov switching model was used to analyse the Tanzanian shilling against the US dollar spanning from 2 January 2009 to 30 April 2020. The estimation period was 2 January 2009–28 May 2019, and the post‐sample forecast period was 28 May 2019–30 April 2020. From the results of the two‐state Markov switching model, we define State 1, which is more volatile, as the inefficient state and State 2, which is less volatile, as… Show more

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Cited by 2 publications
(1 citation statement)
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“…Moreover, another research attempted to link the foreign exchange regime of Tanzania and the stock market efficiency, indicating that the stock market efficiency displays both cases of efficiency and inefficiency according to the different foreign exchange regimes. Where during currency depreciation, market inefficiency prevails and during a normal currency state, market efficiency is evident (Epaphra & Kazungu, 2021).…”
Section: Literature Review and Hypothesis Developmentmentioning
confidence: 99%
“…Moreover, another research attempted to link the foreign exchange regime of Tanzania and the stock market efficiency, indicating that the stock market efficiency displays both cases of efficiency and inefficiency according to the different foreign exchange regimes. Where during currency depreciation, market inefficiency prevails and during a normal currency state, market efficiency is evident (Epaphra & Kazungu, 2021).…”
Section: Literature Review and Hypothesis Developmentmentioning
confidence: 99%