Testing for weak form market efficiency in Indian foreign exchange market

Anoop Sasikumar
Authors registered in the RePEc Author Service: Anoop S Kumar

MPRA Paper from University Library of Munich, Germany

Abstract: 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 market does not exhibit weak form of market efficiency.

Keywords: Efficient market hypothesis; variance ratio tests; foreign exchange markets; India (search for similar items in EconPapers)
JEL-codes: C01 C12 C14 C22 F31 G14 (search for similar items in EconPapers)
Date: 2011-05-20
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in The IUP Journal of Monetary Economics 3.9(2011): pp. 7-19

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/37071/1/MPRA_paper_37071.pdf original version (application/pdf)

Related works:
Journal Article: Testing for Weak Form of Market Efficiency in Indian Foreign Exchange Market (2011)
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:pra:mprapa:37071

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().