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On Single- and Multi-Market Unbiasedness of F o rw a rd Exchange Rates: Some Evidence from Four Asian Countries

Author

Listed:
  • H. Bhatti, Razzaque

    (University of Azad Jammu & Kashmir)

Abstract

Long-run unbiasedness is tested between forward exchange markets of four Asian countries – Hong Kong, Japan, Malaysia and Singapore – vis-à-vis the U.S. and Japan using monthly data on spot and one-month forward exchange rates over the period 1985-1994. The results obtained by employing the Johansen [1988] maximum likelihood technique of cointegration are support - ive of unbiasedness for two countries (Malaysia and Singapore) against Japan but only one (Singapore) against the U.S. The results also indicate that unbi - asedness holds only in the case of forward exchange markets of Malaysia and Singapore relative to Japan not only when these markets are examined in iso - lation from other Asian markets but also in a joint system they constitute.

Suggested Citation

  • H. Bhatti, Razzaque, 1997. "On Single- and Multi-Market Unbiasedness of F o rw a rd Exchange Rates: Some Evidence from Four Asian Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 12, pages 402-417.
    • Handle: RePEc:ris:integr:0056
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    Citations

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    Cited by:

    1. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
    2. Guneratne B Wickremasinghe & Jae H Kim, 2008. "Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(2), pages 169-196, August.
    3. Rabia Latif & Attiya Yasmin Javid, 2016. "The Determinants of Pakistan Exports of Textile: An Integrated Demand and Supply Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 55(3), pages 191-210.

    More about this item

    Keywords

    Multi-Market; Unbiasedness;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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