Testing the martingales property of daily exchange rate

Abstract

The purpose of this paper is to test whether the Albanian exchange rate market is weak form efficient by studying the statistical behavior of daily Euro and USD exchange rate against Albanian Lekё, which are the most influential currency in Albania market, during the period January 05, 2010 -April 30, 2015. The study seeks to examine whether this currencies follow each a martingale. The unit root tests (individually and panel) and variation ratio test are used. The various analytical tests implemented in the study provide evidence of non-martingale property of exchange market in Albania.