The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying two independent approaches, one based on the Uncovered Interest Parity theory, and another based on the fractal analysis of exchange rates series. The research results show that the Uncovered Interest Parity holds only on the USD/PLN market. For EUR/PLN, JPY/PLN, CHF/PLN, MXN/PLN and TRY/PLN, the Uncovered Interest Parity hypothesis is rejected and implies the existence of the forward premium anomaly and market inefficiency. The estimated Hurst coefficient provides insight into the long-range dependence of exchange rates. The MXN/PLN, TRY/PLN and EUR/PLN exchange rates exhibit anti-persistent behaviours suggesting mean-reverting characteristics. For JPY/PLN and CHF/PLN, a high value of the Hurst exponent indicates long memory in the time series. Only for USD/PLN, we achieve the Hurst exponent closest to 0.5, which implies market efficiency. The research results obtained based on the UIP hypothesis and fractal analysis are consistent. The study reveals that the market efficiency hypothesis holds only for the most tradable Polish zloty currency pair, i.e., USD/PLN.

中文翻译：

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波兰兹罗提汇率市场的效率：未覆盖的利率平价和分形分析方法

货币市场有效性的研究是金融领域最重要的研究问题之一。本文旨在评估波兰兹罗提汇率市场的效率。我们通过应用两种独立的方法来测试市场效率，一种基于未覆盖利率平价理论，另一种基于汇率序列的分形分析。研究结果表明，未覆盖利息平价仅适用于 USD/PLN 市场。对于 EUR/PLN、JPY/PLN、CHF/PLN、MXN/PLN 和 TRY/PLN，未覆盖利息平价假设被拒绝，这意味着存在远期溢价异常和市场低效率。估计的赫斯特系数提供了对汇率长期依赖性的洞察。MXN/PLN，TRY/PLN 和 EUR/PLN 汇率表现出反持续行为，表明均值回归特征。对于 JPY/PLN 和 CHF/PLN，Hurst 指数的高值表示时间序列中的长记忆。仅对于 USD/PLN，我们实现了最接近 0.5 的 Hurst 指数，这意味着市场效率。基于UIP假设和分形分析得到的研究结果是一致的。研究表明，市场效率假设仅适用于最易交易的波兰兹罗提货币对，即美元/波兰兹罗提。基于UIP假设和分形分析得到的研究结果是一致的。研究表明，市场效率假设仅适用于最易交易的波兰兹罗提货币对，即美元/波兰兹罗提。基于UIP假设和分形分析得到的研究结果是一致的。研究表明，市场效率假设仅适用于最易交易的波兰兹罗提货币对，即美元/波兰兹罗提。