Title

The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore

Publication Type

Journal Article

Publication Date

1986

Abstract

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]

Discipline

Asian Studies | Econometrics | Finance

Research Areas

Econometrics

Publication

Applied Economics

Volume

18

Issue

3

First Page

319

Last Page

331

ISSN

0003-6846

Identifier

10.1080/00036848600000032

Publisher

Taylor and Francis

Additional URL

http://dx.doi.org/10.1080/00036848600000032

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