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Volume 13
Issue 1
Online publication date 2017-02-26
Title Long memory features and relationship stability of Asia-Pacific currencies against USD
Author Murugesan Selvam, Amirdha Vasani Sankarkumar, Balasundaram Maniam, Marxia Oli SIGO
Abstract
This research study examines the behavior of currency rate, long memory features, and long-term stability in the returns of thirteen Asia-Pacific currencies (AUD, CNY, HKD, INR, IDR, JPY, KRW, MYR, NZD, PHP, SGD, TWD, and THB) against USD over a period of fourteen years (from 2nd January 2001 to 10th December 2014). The study uses descriptive statistics, ADF and PP test, Hurst exponent co-integration model, and figures to investigate the normality, stationarity, long memory features, and long-term relationship stability of sample currencies against USD. This study determined the values of the Hurst Exponent for the first window with 1,000 observations and the second window with 2,500 observations. This study provides significant evidence for the presence of long memory features and relationship stability. The findings of this study would help investors, exchange rate trade policy makers, exporters, and importers to make decisions on the investment, export, and import of goods and services.
Citation
References
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Keywords Hurst exponent, long memory features, efficient market hypothesis, Asia Pacific foreign exchange markets, cointegration
DOI http://dx.doi.org/10.15208/beh.2017.07
Pages 97-109
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