Exchange rate regime changes and market efficiency: An event study

Teresa Corzo, Karin Martin-Bujack, Jose Portela and Alejandro Rodríguez-Gallego

Journal of International Financial Markets, Institutions and Money, 2025, vol. 100, issue C

Abstract: This study conducts a pioneering assessment of the efficiency of floating versus pegged exchange rate regimes and the effect of regime changes on market efficiency. Using daily exchange rates and fractal analysis, we characterize 81 currencies over a period of 23 years. The extensive sample covers 86.6 % of IMF members and 77.8 % of global GDP. The findings reveal high market efficiency in floating regimes, while pegged regimes display predominantly mean-reverting behavior. In addition, from the difference-in-differences and panel event study methodologies, we present new evidence indicating positive (negative) effects on efficiency when shifting to floating (pegged) regimes, with movements unfolding gradually over time.

Keywords: Foreign Exchange Market; Exchange Rate Regime; Market Efficiency; Event Study; Fractals; MF-DFA (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443125000228
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:100:y:2025:i:c:s1042443125000228

DOI: 10.1016/j.intfin.2025.102132

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().