Since 2014
The Spot-Forward Exchange Rate Relation in Indian Foreign Exchange Market – An Analysis
The International Journal of Financial Management
View Archive Info| Field | Value | |
| Title |
The Spot-Forward Exchange Rate Relation in Indian Foreign Exchange Market – An Analysis
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| Creator |
Nath, Golaka C.; Senior Vice President, CCIL, Mumbai, Maharashtra, India. Email: gcnath@hotmail.com
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| Subject |
Forward Exchange Rate, India, CCIL, Bias, Puzzle, Exchange Rate Premium, Exchange Rate
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| Description |
Forward exchange rate bias explanation generally falls into two categories – assumption of rational expectation resulting in a risk premium and expectation errors which is systematic. The paper tests the bias in the Indian forward exchange markets using one-month and three month forward contracts. The study finds that the three month contracts have larger prediction errors than the one-month contracts. The paper also finds that the prediction errors have information content which leads to assume the presence of risk premium. The study also finds that one-month contracts have lesser variability in risks vis-à-vis the three month contracts.
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| Publisher |
Publishing India Group
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| Date |
2015-07-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.myresearchjournals.com/index.php/IJFM/article/view/3091
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| Source |
International Journal of Financial Management; Vol 4, No 2 (2014)
2229-5682 |
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| Language |
eng
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| Relation |
http://www.myresearchjournals.com/index.php/IJFM/article/view/3091/3019
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| Rights |
Copyright (c) International Journal of Financial Management |
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