EconPapers    
Economics at your fingertips  
 

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: G14 G15 F31 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560612000575
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:jimfin:v:31:y:2012:i:6:p:1574-1592

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-01
Handle: RePEc:eee:jimfin:v:31:y:2012:i:6:p:1574-1592