Abstract

The Exchange Market Pressure Index (EMPI) is an indicator of pressure on a currency. Because of the presence of serial correlation, financial time series may not be normally distributed even for large sample sizes. They may have undefined parameters and hence parametric tests of normality may give misleading results. In this paper, we look at the time series of EMPI of eleven countries of the world, put the data to normality check using tests suggested by various scholars. We also apply a test used exclusively for serially correlated data. No one has used this test earlier. In this context, we also compare the power of these statistical tests, which is another novel contribution of this paper. On the basis of these tests the EMPI time series is found to be non-normal. Two tests are found to be the most powerful. The test which is designed exclusively for time series data is found to be powerful only for China and South Korea, the countries which had the lowest EMPI- standard- deviation in the group of all the eleven countries studied in this paper.

摘要

外汇市场压力指数 (EMPI) 是一种货币压力指标。由于序列相关性的存在，即使样本量很大，金融时间序列也可能不是正态分布的。它们可能具有未定义的参数，因此正态性的参数检验可能会产生误导性的结果。在本文中，我们查看了世界上十一个国家的 EMPI 时间序列，使用各种学者建议的测试对数据进行正态性检查。我们还应用了专门用于序列相关数据的测试。之前没有人使用过此测试。在这种情况下，我们还比较了这些统计检验的功效，这是本文的另一个新颖贡献。在这些测试的基础上，发现 EMPI 时间序列是非正常的。两个测试被发现是最强大的。