Long memory features and relationship stability of Asia-Pacific currencies against USD

Selvam Murugesan (), Amirdha Vasani Sankarkumar (), Balasundaram Maniam and Marxia Sigo

Business and Economic Horizons (BEH), 2017, vol. 13, issue 1, 97-109

Abstract: This research study examines the behavior of currency rate, long memory features, and long-term stability in the returns of thirteen Asia-Pacific currencies (AUD, CNY, HKD, INR, IDR, JPY, KRW, MYR, NZD, PHP, SGD, TWD, and THB) against USD over a period of fourteen years (from 2nd January 2001 to 10th December 2014). The study uses descriptive statistics, ADF and PP test, Hurst exponent co-integration model, and figures to investigate the normality, stationarity, long memory features, and long-term relationship stability of sample currencies against USD. This study determined the values of the Hurst Exponent for the first window with 1,000 observations and the second window with 2,500 observations. This study provides significant evidence for the presence of long memory features and relationship stability. The findings of this study would help investors, exchange rate trade policy makers, exporters, and importers to make decisions on the investment, export, and import of goods and services.

Keywords: Hurst exponent; long memory features; efficient market hypothesis; Asia Pacific foreign exchange markets; cointegration (search for similar items in EconPapers)
JEL-codes: C58 F31 G14 H21 N25 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
https://academicpublishingplatforms.com/downloads/ ... encies_pp.97-109.pdf (application/pdf)
https://academicpublishingplatforms.com/article.ph ... mber=25&article=2307 (text/html)

Related works:
Journal Article: Long memory features and relationship stability of Asia-Pacific currencies against USD (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pdc:jrnbeh:v:13:y:2017:i:1:p:97-109

DOI: 10.15208/beh.2017.07

Access Statistics for this article

Business and Economic Horizons (BEH) is currently edited by Orifjan Namozov, Ph.D.

More articles in Business and Economic Horizons (BEH) from Prague Development Center Contact information at EDIRC.
Bibliographic data for series maintained by Jaroslav Holecek ( this e-mail address is bad, please contact ).