Abstract

The study utilizes both parametric and non parametric tests to examine the behavior of weekly return of eight currencies relative to Indian Rupee in post liberalization period. Also, bootstrap resampling technique is used to calculate the significance levels of variance ratio statistics.  The results show strong evidence of rejection of random walk for US Dollar and Hong Kong Dollar relative to Indian Rupee. Further, there is mixed evidence of random walk for Singapore Dollar. However, for other five currencies random walk could not be rejected. Overall, there is evidence against weak form efficient foreign exchange market in India.

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