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Article
Testing for Weak Form Market Efficiency in Indian Foreign Exchange Makret
The IUP Journal of Monetary Economics (2011)
  • Anoop Sasikumar
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
  • Market Efficiency,
  • Variance Ratio Tests,
  • Foreign Exchange,
  • India
Publication Date
August, 2011
Citation Information
Anoop Sasikumar. "Testing for Weak Form Market Efficiency in Indian Foreign Exchange Makret" The IUP Journal of Monetary Economics Vol. 9 Iss. 3 (2011)
Available at: http://works.bepress.com/anoop_sasikumar/1/