The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore
This paper studies the foreign exchange market of Singapore. It examines the hypotheses that the spot exchange rate follows a random walk and that the expected value of the future spot rate is the current forward rate. Using various powerful tests that have been developed recently in the econometric...
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1986
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sg-smu-ink.soe_research-10232010-09-23T05:48:03Z The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore TSE, Yiu Kuen This paper studies the foreign exchange market of Singapore. It examines the hypotheses that the spot exchange rate follows a random walk and that the expected value of the future spot rate is the current forward rate. Using various powerful tests that have been developed recently in the econometric literature, we reject the two hypotheses convincingly. In this paper we examine, for the Singapore foreign exchange market, two of these regularities: the spot rate follows a random walk (random walk hypothesis) and the expected value of the future spot rate is the current forward rate (efficient market hypothesis). [ABSTRACT FROM AUTHOR] 1986-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/24 info:doi/10.1080/00036848600000032 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Asian Studies Econometrics Finance |
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Singapore Management University |
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SMU Libraries |
| continent |
Asia |
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Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Asian Studies Econometrics Finance |
| spellingShingle |
Asian Studies Econometrics Finance TSE, Yiu Kuen The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore |
| description |
This paper studies the foreign exchange market of Singapore. It examines the hypotheses that the spot exchange rate follows a random walk and that the expected value of the future spot rate is the current forward rate. Using various powerful tests that have been developed recently in the econometric literature, we reject the two hypotheses convincingly. In this paper we examine, for the Singapore foreign exchange market, two of these regularities: the spot rate follows a random walk (random walk hypothesis) and the expected value of the future spot rate is the current forward rate (efficient market hypothesis). [ABSTRACT FROM AUTHOR] |
| format |
text |
| author |
TSE, Yiu Kuen |
| author_facet |
TSE, Yiu Kuen |
| author_sort |
TSE, Yiu Kuen |
| title |
The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore |
| title_short |
The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore |
| title_full |
The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore |
| title_fullStr |
The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore |
| title_full_unstemmed |
The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore |
| title_sort |
spot and forward exchange rates: some empirical evidence of singapore |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1986 |
| url |
https://ink.library.smu.edu.sg/soe_research/24 |
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1770569009281892352 |