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
Date Written: May 1, 2014
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: Suggested Citation