| SMART JOURNAL OF BUSINESS MANAGEMENT STUDIES |
VOL. 8 |
NO. 2 |
PAPER 4 |
| |
LONG RUN RELATIONSHIP BETWEEN SPOT AND FUTURES CURRENCY RATES: AN EMPIRICAL STUDY ON CURRENCY MARKETS OF INDIA |
| |
| Irfan ul Haq* and K .Chanderasekara Rao** |
| * Research Scholar, Department of Banking Technology, Pondicherry University, Puducherry, India |
| ** Professor and Head,Department of Banking Technology, Pondicherry University, Puducherry, India |
| |
| The paper examines the long term relationship between Spot and Futures (started in August 2008) exchange rate between Indian Rupee and US Dollars for the period January 2010 to December 2011, by using the Johansen Cointegration Analysis. Cointegration Analysis shows that there is a long run relation between Spot and Futures currency rates and according to Granger Causality, Futures Returns lead the Spot Returns. |
| |