"A Study on Efficiency and Optimal Portfolio Selection of Selected Currency Pairs Listed in S&P 500 Index"

Authors

Dr. D. Padmavathi (Head & Associate Professor) & T V Nithya
Sri Ramakrishna College of Arts and Science for Women, Coimbatore.

Abstract

The Foreign Exchange Market (Forex, FX, or currency market) is a global decentralized market for the trading of currencies. The Foreign Exchange Market assists international trade and investments by enabling currency conversion. This study is carried out to analyze the efficiency of the market and to find a suitable portfolio. For this purpose 15 cross currency pairs were taken as sample size and Unit root test, Descriptive Statistics, Sharpe’s Single Index Model were used as technical tool for analysis. From the study it was concluded that the degree of predictability of the different exchange rates varies significantly, in spite of the fact that all three exchange markets are known to be flexible and liquid.