An Empirical Study on Exchange Rate Volatility in India

Ravi Kumar Gupta, Ritu Gupta & Anita Gupta, An Empirical Study on Exchange Rate Volatility in India. International Journal of Engineering Sciences Paradigms & Researchers, (ISSN: 2319-6564) Vol. 13, Issue 01, May 2014, pp. 1-12, Parul Publication, India

12 Pages Posted: 16 Jun 2020

See all articles by Ravi Kumar Gupta

Ravi Kumar Gupta

Maharaja Agrasen Institute of Management Studies

Date Written: May 1, 2014

Abstract

Currency market is the most volatile & liquid in all financial markets of the world. The present study was conducted to know a good theoretical approach to Indian Currency Market & Rupee position in the global market. It analyzed the volatility of rupee and the normality in the daily changes in the value of rupee with respect to four currency pairs i.e. JPY/INR, GBP/INR, EUR/INR, and USD/INR during one last year. Kolmogorovsmirnov Test and Shapiro Wilks W Tests were used for the testing normality of data. The data was analyzed through Descriptive Statistics of the daily reference rates given by RBI. The study concluded that the rupee was highest volatile in the month of August during last year 2013 in respect of all the four currencies. The daily changes in the value of the rupee were not normally distributed. The study also found that rupee was more volatile to GBP currency in comparison of other three currencies.

Keywords: Foreign Exchange Market, Currency Market, Volatility, USD & INR

JEL Classification: G14

Suggested Citation

Gupta, Ravi Kumar, An Empirical Study on Exchange Rate Volatility in India (May 1, 2014). Ravi Kumar Gupta, Ritu Gupta & Anita Gupta, An Empirical Study on Exchange Rate Volatility in India. International Journal of Engineering Sciences Paradigms & Researchers, (ISSN: 2319-6564) Vol. 13, Issue 01, May 2014, pp. 1-12, Parul Publication, India, Available at SSRN: https://ssrn.com/abstract=3581636

Ravi Kumar Gupta (Contact Author)

Maharaja Agrasen Institute of Management Studies ( email )

Plot No 1, PSP Institutional Area
Sector 22, Rohini
New Delhi, DE New Delhi 110086
India
9355629130 (Phone)

HOME PAGE: http://www.maims.ac.in

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
27
Abstract Views
143
PlumX Metrics