Revisiting uncovered interest rate parity: an empirical testing using bounds test approach

Jaratin Lily , and Mori Kogid , and Dullah Mulok , and Rozilee Asid , (2012) Revisiting uncovered interest rate parity: an empirical testing using bounds test approach. In: 2nd Annual International Conference on Accounting and Finance (AF 2012) , School of Business and Economics,Universiti Malaysia Sabah.

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Official URL: http://dx.doi: 10.1016/S2212-5671(12)00063-9

Abstract

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.

Item Type:Conference Paper (UNSPECIFIED)
Uncontrolled Keywords:UIRP , EMH , bounds , test, Malaysia
Subjects:H Social Sciences > HB Economic Theory
ID Code:7315
Deposited By:IR Admin
Deposited On:21 Oct 2013 13:25
Last Modified:08 Sep 2014 16:39

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