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Full-Text Articles in Economic Theory
Testing For Weak Form Market Efficiency In Indian Foreign Exchange Makret, Anoop Sasikumar
Testing For Weak Form Market Efficiency In Indian Foreign Exchange Makret, Anoop Sasikumar
Anoop Sasikumar
This paper attempts to examine the weak form of market efficiency in the Indian foreign exchange market using a family of variance ratio tests. Monthly Nominal Effective Exchange Rate (NEER) data from April 1993-June 2010 were used for the analysis. NEER series was considered for the analysis as it is supposed to capture more information compared to the bilateral exchange rates. Three individual variance ratio tests as well as three joint variance ratio tests were used for the purpose of analysis. After analyzing the results from both individual and joint variance ratio test, it was concluded that Indian foreign exchange …
An Analysis Of Presence Of Long Memory In The Indian Foreign Exchange Market, Anoop Sasikumar
An Analysis Of Presence Of Long Memory In The Indian Foreign Exchange Market, Anoop Sasikumar
Anoop Sasikumar
This paper seeks to analyze the presence of long memory in the Indian foreign exchange market using a family of tests. The study has used Nominal Effective Exchange Rate (NEER) series as the data source to check the possible presence of long memory. Three R/S statistics viz. Hurst, Mandelbrot’s and Lo’s modified R/S statistics as well as two semi-parametric tests viz. Robinson’s Gaussian semi-parametric estimate and Andrews-Guggenberger modified GPH estimator are used for the purpose of analysis. All the results conclusively prove the presence of strong version of long memory in the Indian foreign exchange market.