जर्नल ऑफ़ स्टॉक एंड फॉरेक्स ट्रेडिंग
खुला एक्सेस

अमूर्त

Interlinkages in Asia-Pacific Non-Deliverable Forward (NDF) Markets (A Comparison between Pre and Post Currency Futures Era)

Saravanan A and Velmurugan PS

This paper examines the inter-linkages in Asia Pacific, currency market before and after the introduction of currency futures in India using simple correlation and Granger causality tests. It is found that inter-linkages among Asia- pacific markets have increased after the emergence of currency future, and Asia-Pacific NDF markets are closely linked with one another. Further, Indonesian market does not seem to have any influence on the other Asia-Pacific markets except India and similarly is not much affected by any market other than the China, India and Philippines. Vietnam market seems to be isolated from the region. Indonesia market appears to dominate other markets in the region and its effect on them is even greater than that of China. All eight Asia-Pacific markets affect one another and their effects are transmitted within three days in most of the cases.