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

The Asia-Pacific region s currency markets are generally efficient within-country when tested using the Johansen, 1991 and Johansen, 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.