EuroEconomica, Vol 32, No 1 (2013)

Abstract

The main purpose of the study is to test the foreign exchange market efficiency for euro / Albanian lekë during the period 01 January 2002 – 31 December 2012 in Albanian currency market.

The results of this study include:

1. The informational efficiency is rejected for daily exchange rate euro / Albanian lekë during the period January 2004 – December 2012 at the 99.99% level of confidence.
2. The Albanian foreign exchange market was inefficient regarding to the relative changes in the daily nominal exchange rate euro / Albanian lekë during the period January 2004 – December 2012 at the 99.99% level of confidence.
3. The Albanian foreign exchange market was inefficient regarding to the monthly exchange rate euro / Albanian lekë during the period January 2002 – December 2012 at the 99.7% level of confidence.
4. The Albanian foreign exchange market was inefficient regarding to the relative changes in the monthly exchange rate euro / Albanian lekë during the period January 2002 – December 2012 at the 99.8 % level of confidence.

These findings are noteworthy because it has long been through of that the movements the euro / Albanian lekë nominal exchange rates must be a fair game.