VOLATILITY ANALYSIS OF CORRELATION BETWEEN FOREIGN CURRENCIES IN REFERENCE TO INDIAN RUPEE
Introduction. Multinational firms have their revenue linked in number of currencies and their upside and downside movements can affect overall efficiency of firms. Purpose of the research is to ascertain the correlation between exchange rate movements, to ascertain ьrelative change in value of currency over period of time, to suggest measures to cope up volatility of exchange rate movements and for effective management of forex exchange market. Methods. The analysis of each data set of exchange rate in detail to have insight of their mean, median, mode, skewness, kurtosis. An attempt has been made to drive out trend of movements and plot that in line diagram and correlation and other descriptive statistics have been calculated using SPSS software. Results. The Pearson’s correlation value is close to 1 in almost all cases, it indicates that there is a strong relationship between two variables. CAD with INR are positively skewed whereas USD, GBP, JPY are negatively skewed with INR. INR movements in CAD, JPY, USD and GBP have correlation indicating that all companies having transactions globally can predict that upward movement in one currency affects the movement of another currency. Discussion. Based on above analysis, some suggestion have been drawn for improving functioning of forex exchange market in India.
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