Download This PaperTesting the Cointegration of Foreign Exchange Market in India
12 Pages Posted: 5 Apr 2012 Last revised: 12 Apr 2012
Date Written: February 2, 2012
Abstract
The main objective of this paper is to examine the non stationary and cointegration of foreign exchange market. The closing spot prices of daily data consisting of USD/INR, EUR/INR, JPY/INR and GBP/INR for the period of 1st Jan 2002 to 31st Dec 2011 was analyzed using Augmented Dickey Fuller Test, Johansen Co Integration Test and Granger Causality Test. The results confirm that there is no stationary and no cointegration among Foreign Exchange Market in India.
Keywords: cointegration, foreign exchange market, spot prices, stationary
Suggested Citation: Suggested Citation
D., Yuvaraj and Jayapal, Gayathri, Testing the Cointegration of Foreign Exchange Market in India (February 2, 2012). Available at SSRN: https://ssrn.com/abstract=2034589 or http://dx.doi.org/10.2139/ssrn.2034589
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