Testing for Weak Form of Market Efficiency in Indian Foreign Exchange Market

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 to June 2010 were used for the analysis. NEER series was considered for the analysis as...

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Bibliographic Details
Published in:The ICFAI journal of monetary economics 2011-08, Vol.9 (3), p.7-19
Main Author: Kumar, Anoop S
Format: Article
Language:English
Subjects:
Currency
Efficiency
Efficient markets
Exchange market
Exchange rates
Foreign exchange
Foreign exchange markets
Foreign exchange operations
Foreign exchange rates
Hypotheses
India
International finance
Market efficiency
Special drawing rights
Studies
Time series
Variance analysis
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Summary: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 to 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 of both individual and joint variance ratio tests, it was concluded that Indian foreign exchange market does not exhibit weak form of market efficiency. [PUBLICATION ABSTRACT]
ISSN:0972-9291