Is emerging foreign exchange market efficient? / Soofiyah Aiman Sanadi and Bee-Hoong Tay

Aiman Sanadi, Soofiyah and Bee, Hoong Tay (2021) Is emerging foreign exchange market efficient? / Soofiyah Aiman Sanadi and Bee-Hoong Tay. JOURNAL VOICE OF ACADEMIA, 17 (1). pp. 105-115. ISSN 26827840 (Submitted)

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Official URL: https://voa.uitm.edu.my

Abstract

This study examines the weak form efficiency in the eight selected Asian foreign exchange markets from January 2010 to September 2020. The selected foreign exchange markets are Malaysia, India, Pakistan, China, Taiwan, Thailand, South Korea, and Indonesia. Augmented Dickey-Fuller (ADF) test, Phillips-Perron (PP) test and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) test are adopted to investigate the weak form efficiency. The outcomes for all tests indicated that all the selected foreign exchange markets were weak form efficient except Taiwan when tested with the KPSS test. These findings have important implication to investors, fund managers and policy makers.

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Item Type: Article
Creators:
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Aiman Sanadi, Soofiyah
UNSPECIFIED
Bee, Hoong Tay
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Money > Money and prices. Inflation. Deflation. Purchasing power
H Social Sciences > HG Finance > International finance > Foreign exchange. Foreign exchange rates
Divisions: Universiti Teknologi MARA, Kedah > Sg Petani Campus
Journal or Publication Title: JOURNAL VOICE OF ACADEMIA
UiTM Journal Collections: UiTM Journal > Voice of Academia (VOA)
ISSN: 26827840
Volume: 17
Number: 1
Page Range: pp. 105-115
Official URL: https://voa.uitm.edu.my
Item ID: 46827
Uncontrolled Keywords: Efficient market hypothesis, Weak form market efficiency, Foreign exchange market
URI: https://ir.uitm.edu.my/id/eprint/46827

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46827

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