DOI: 10.5176/2251-1997_AF32
Authors: Jaratin Lily, Mori Kogid, Dullah Mulok and Rozilee Asid
Abstract:
This study attempts to provide empirical evidence onthe Uncovered Interest Rate Parity (UIRP) theory with Malaysiataken as a case study. Though theoretically sound, the UIRP doesnot seem to hold well empirically. Using quarterly data spannedfrom the first quarter of 1998 to the third quarter of 2010, theempirical results revealed the violation of the UIRP theory. Thisindicates that there is a possibility of arbitrage opportunitybetween Malaysia and the studied markets (Japan, Singaporeand United Kingdom) due to the violation of EMH. The studyalso found absence of the forward premium puzzle in any cases.
Keywords: UIRP; EMH; bounds test; Malaysia
LinkOut: ScienceDirect
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