Testing the Efficiency of Indian Foreign Exchange Market
12 Pages Posted: 6 Apr 2012
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: 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
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