Abstract
This paper empirically investigates the volatility dynamics of Pak Rupee exchange rates and its effects on market efficiency through using GARCH models. The monthly data on Pak Rupee exchange rates in the terms of major currencies (US Dollar, British Pound, Canadian Dollar and Japanese Yen) are taken from April, 1982 to June, 2012. The results show that Pak Rupee exchange rates depict high persistence and volatility clustering across GARCH models. There are no evidences of asymmetry and risk premium in Pak Rupee exchange rates except PKR-USD. Moreover, results indicate inefficiency of Pakistan exchange market which implies that the past information is not quickly incorporated by the current volatility.
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Article Details
- Year: 2015
- Volume: 36
- Issue: 3
- Pages: 67 - 92
- Accepted: 20.12.2014
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DOI:
https://doi.org/10.5281/zenodo.20311490 -
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How to Cite?
Munazza Jabeen, Andleeb Ismail (2015). Exchange Rate Volatility and Market Efficiency Evidence from Pakistan. Journal of Economic Cooperation and Development, 36(3), 67-92. https://doi.org/10.5281/zenodo.20311490
