Revisiting Uncovered Interest Rate Parity: An Empirical Testing Using Bounds Test Approach

被引：2

作者：

Lily, Jaratin ^{[1
]}

Kogid, Mori ^{[1
]}

Mulok, Dullah ^{[1
]}

Asid, Rozilee ^{[1
]}

机构：

[1] Univ Malaysia Sabah, Sch Business & Econ, Jalan UMS, Kota KInabalu 88400, Sabah, Malaysia

来源：

2ND ANNUAL INTERNATIONAL CONFERENCE ON ACCOUNTING AND FINANCE (AF 2012) AND QUALITATIVE AND QUANTITATIVE ECONOMICS RESEARCH (QQE 2012) | 2012年 / 2卷

关键词：

UIRP; EMH; bounds test; Malaysia; TIME-SERIES;

D O I：

10.1016/S2212-5671(12)00063-9

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study attempts to provide empirical evidence on the Uncovered Interest Rate Parity (UIRP) theory with Malaysia taken as a case study. Though theoretically sound, the UIRP does not seem to hold well empirically. Using quarterly data spanned from the first quarter of 1998 to the third quarter of 2010, the empirical results revealed the violation of the UIRP theory. This indicates that there is a possibility of arbitrage opportunity between Malaysia and the studied markets (Japan, Singapore and United Kingdom) due to the violation of Efficient Market Hypothesis (EMH). The study also found the absence of the forward premium puzzle in any cases. (C) 2012 The Authors. Published by Elsevier Ltd. Selection and/or peer-review under responsibility of Global Science and Technology Forum

引用

页码：45 / 52

页数：8

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