Joshini John (2005) The monetary movement of the ringgit Malaysia against the euro. Universiti Malaysia Sabah. (Unpublished)

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Abstract
This research is carried out under the hypothesis that an exchange rate series does not display random walk behaviour but is instead a first order negative autocorrelation. A daily data of 6 years for the Malaysian Ringgit against the Euro exchange rate was used in this research. This paper first tests some basic characteristics, such as the skewness, kurtosis and the normality of the time series data for the Malaysian Ringgit against the Euro exchange rate and the first difference of the logarithms of the exchange rate using the JarqueBera statistics. Both the raw and the transformed data showed signs of nonnormality. Subsequently, the presence of unit root is tested using the Augmented Dickey Fuller test (ADF) and not the DickeyFuller test (DF) as preplanned to determine whether this series displayed random walk behaviour. This is because the series is of lag 2. Thirdly, this research checked whether the series is a first order negative autocorrelation using the DurbinWatson test. Since the DW test has its shortcomings, the BreuschGodfrey Serial Correlation LM test was then carried out. After running all the tests, we can conclude that even though the series does display some tendency towards random walk, we cannot thoroughly accept it as that because the ADF test is carried out under the assumption that the series has a constant variance. An exchange rate series does not have constant mean and variance. However, because of the lack of the number of observations, we cannot categories this series either to display random walk behaviour or to have a negative first order autocorrelation.
Item Type:  Academic Exercise 

Keyword:  exchange rate, Malaysian Ringgit, Augmented DickeyFuller test, DickeyFuller test, JarqueBera statistic 
Subjects:  H Social Sciences > HB Economic theory. Demography Q Science > QA Mathematics 
Department:  SCHOOL > School of Science and Technology 
Depositing User:  SITI AZIZAH BINTI IDRIS  
Date Deposited:  27 Feb 2014 09:39 
Last Modified:  12 Oct 2017 12:11 
URI:  https://eprints.ums.edu.my/id/eprint/8330 
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