The nature of currency black markets: empirical test of weak and semistrong form efficiency

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Abstract
This article examines weak and semistrong form market efficiency of currency black markets for 20 developing countries in Asia, Africa, the Middle East, and South America. This study finds some evidence of significant serial dependence, skewness, kurtosis, and deviations from the efficient markets form of purchasing power parity. However, these deviations from weak and semistrong market efficiency seem to depend on the time period and currency examined and, given the nature of currency black markets, it is interesting that in many cases even these markets exhibit market efficiency.