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Martingales Property in Albania Exchange Market

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  • Rozana Liko
  • Artion Kashuri

Abstract

The aim of this paper is to test whether the Albanian exchange rate market is weak form efficient by studying the statistical behavior of daily Euro/All and USD/All exchange rate during the period January 05, 2010 – April 30, 2015, which are the most influential currency in Albania market. The study seeks to examine whether this currencies follow each a martingale. The unit root tests, 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.

Suggested Citation

  • Rozana Liko & Artion Kashuri, 2016. "Martingales Property in Albania Exchange Market," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 5, March.
    • Handle: RePEc:bjz:ajisjr:1438
    DOI: 10.5901/ajis.2016.v5n1p93
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