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Foreign exchange market efficiency under recent crises: Asia-Pacific focus

Rubi Ahmad (), S. Ghon Rhee and Yuen Meng Wong

Journal of International Money and Finance, 2012, vol. 31, issue 6, 1574-1592

Abstract: The Asia-Pacific region’s currency markets are generally efficient within-country when tested using the Johansen (1991, 1995) cointegration technique whereas market efficiency fails to hold when tested using Fama’s (1984) conventional regression. Using the Pilbeam and Olmo (2011) model, we reconcile these conflicting findings. The Pilbeam and Olmo (2011) model confirms within-country market efficiency. It further confirms that free-float currency markets are more resilient than managed-float currency markets among 12 Asia-Pacific economies. From the across-country perspective, the foreign exchange markets are mostly efficient and the results show that the 1997–1998 Asian financial crisis was a more disturbing event than the 2008–2009 global financial crisis in the region.

Keywords: Foreign exchange market efficiency; Forward unbiasedness hypothesis; Cointegration; Asia-Pacific currencies (search for similar items in EconPapers)
JEL-codes: F31 G14 G15 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jimonfin.2012.02.016

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