Variance Ratio Test of Random Walk for Foreign Trade: The Study in India during the Globalization Era of 1990s

Rudra Prakash Pradhan

Abstract


The paper investigates the random walk properties of foreign trade. The data used in the empirical test correspond to monthly exports and imports of India in the globalization era of 1990s. The test of random walk employed in this study is the variance ratio test, developed by Lo and Mackinlay. The empirical results indicate that the series contain large permanent component and small temporary component for both exports and imports. This suggests that foreign trade follows a random walk.

Full Text: PDF DOI: 10.5430/ijfr.v3n1p101

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International Journal of Financial Research
ISSN 1923-4023(Print) ISSN 1923-4031(Online)

 

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