Revisiting Uncovered Interest Rate Parity: An Empirical Testing Using Bounds Test Approach

Autor:	Rozilee Asid, Dullah Mulok, Mori Kogid, Jaratin Lily
Rok vydání:	2012
Předmět:	UIRP Financial economics Malaysia General Engineering Energy Engineering and Power Technology Quarter (United States coin) Test (assessment) Efficient-market hypothesis Empirical research Interest rate parity EMH Economics Arbitrage bounds test Empirical evidence
Zdroj:	Procedia Economics and Finance. 2:45-52
ISSN:	2212-5671
DOI:	10.1016/s2212-5671(12)00063-9
Popis:	This study attempts to provide empirical evidence on the Uncovered Interest Rate Parity (UIRP) theory with Malaysia taken as a case study. Though theoretically sound, the UIRP does not seem to hold well empirically. Using quarterly data spanned from the first quarter of 1998 to the third quarter of 2010, the empirical results revealed the violation of the UIRP theory. This indicates that there is a possibility of arbitrage opportunity between Malaysia and the studied markets (Japan, Singapore and United Kingdom) due to the violation of Efficient Market Hypothesis (EMH). The study also found the absence of the forward premium puzzle in any cases.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::12db8d1ea6bc8ef72e3a4f9334dc4a01 https://doi.org/10.1016/s2212-5671(12)00063-9 Zobrazit plný text záznamu