Testing the Efficiency of Indian Foreign Exchange Market

12 Pages Posted: 6 Apr 2012

See all articles by Yuvaraj D.

Yuvaraj D.

Sri Balaji Chocklingam Engineering College

Gayathri Jayapal

Bharathidasan University - Department of Commerce and Financial Studies

J. Sathya

Bharathidasan University

Date Written: April 5, 2012

Abstract

The main objective of this paper is to examine the weak form and semi-strong form efficiency of foreign exchange market in India. The daily closing spot rates of USD/INR, EUR/INR, JPY/INR and GBP/INR for the period of ten years from 1999 to 2009 was analyzed. Augmented Dickey Fuller Test, Auto Correlation, Runs Test, Johansen Co Integration Test and Granger Causality Test confirms the weak form and semi-strong efficiency of Foreign Exchange Market in India.

Keywords: efficiency, foreign exchange market, semi-strong form, weak form

Suggested Citation

D., Yuvaraj and Jayapal, Gayathri and Sathya, J., Testing the Efficiency of Indian Foreign Exchange Market (April 5, 2012). Available at SSRN: https://ssrn.com/abstract=2034651 or http://dx.doi.org/10.2139/ssrn.2034651

Yuvaraj D. (Contact Author)

Sri Balaji Chocklingam Engineering College ( email )

Arni
Thiruvannamalai
Chennai, TN Tamil Nadu 600025
India
8870803060 (Phone)

Gayathri Jayapal

Bharathidasan University - Department of Commerce and Financial Studies ( email )

Tiruchirappalli
Tamil Nadu
India

J. Sathya

Bharathidasan University ( email )

Tiruchirappalli
Tamil Nadu
India

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