THE ASIAN CRISIS AND MARKET EFFICIENCY: A DIFFERENT PERSPECTIVE
This paper investigates the effects ofthe 1997 Asian financial market crisis on the efficiency offoreign exchange markets for the Indonesian rupiah, Philippine peso, Malaysian ringgit, Thai baht, and Korean won. Based on a crisis and a non-crisis period, indications o f inefficiency are found via on...
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People & Global Business Association (P&GBA)
2002-09-01
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doaj-92bd71e4aaf54a7da5e916b99f89fe0e2021-02-17T07:17:16ZengPeople & Global Business Association (P&GBA)Global Business and Finance Review 1088-69312384-16482002-09-01721931THE ASIAN CRISIS AND MARKET EFFICIENCY: A DIFFERENT PERSPECTIVERaj Aroskar0Peggy Swanson1University of Wisconsin at Eau ClaireUniversity of Wisconsin at Eau ClaireThis paper investigates the effects ofthe 1997 Asian financial market crisis on the efficiency offoreign exchange markets for the Indonesian rupiah, Philippine peso, Malaysian ringgit, Thai baht, and Korean won. Based on a crisis and a non-crisis period, indications o f inefficiency are found via one cointegrating vector during the crisis period, but minimal evidence of inefficiency is found during the non-crisis period. Additional efficiency tests, however, reveal that random walk tests dominate error correction models in predictive ability during the crisis period. Thus evidence ofinefficiency is diminished and inefficiencies in foreign exchange markets do not appear to be a significant problem during either periods of relative calm or periods ofextreme volatility.http://www.gbfrjournal.org/pds/journal/thesis/20150624163350-9FO5E.pdfasian crisismarket efficiencyforeign exchange markets |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Raj Aroskar Peggy Swanson |
spellingShingle |
Raj Aroskar Peggy Swanson THE ASIAN CRISIS AND MARKET EFFICIENCY: A DIFFERENT PERSPECTIVE Global Business and Finance Review asian crisis market efficiency foreign exchange markets |
author_facet |
Raj Aroskar Peggy Swanson |
author_sort |
Raj Aroskar |
title |
THE ASIAN CRISIS AND MARKET EFFICIENCY: A DIFFERENT PERSPECTIVE |
title_short |
THE ASIAN CRISIS AND MARKET EFFICIENCY: A DIFFERENT PERSPECTIVE |
title_full |
THE ASIAN CRISIS AND MARKET EFFICIENCY: A DIFFERENT PERSPECTIVE |
title_fullStr |
THE ASIAN CRISIS AND MARKET EFFICIENCY: A DIFFERENT PERSPECTIVE |
title_full_unstemmed |
THE ASIAN CRISIS AND MARKET EFFICIENCY: A DIFFERENT PERSPECTIVE |
title_sort |
asian crisis and market efficiency: a different perspective |
publisher |
People & Global Business Association (P&GBA) |
series |
Global Business and Finance Review |
issn |
1088-6931 2384-1648 |
publishDate |
2002-09-01 |
description |
This paper investigates the effects ofthe 1997 Asian financial market crisis on the efficiency offoreign exchange markets for the Indonesian rupiah, Philippine peso, Malaysian ringgit, Thai baht, and Korean won. Based on a crisis and a non-crisis period, indications o f inefficiency are found via one cointegrating vector during the crisis period, but minimal evidence of inefficiency is found during the non-crisis period. Additional efficiency tests, however, reveal that random walk tests dominate error correction models in predictive ability during the crisis period. Thus evidence ofinefficiency is diminished and inefficiencies in foreign exchange markets do not appear to be a significant problem during either periods of relative calm or periods ofextreme volatility. |
topic |
asian crisis market efficiency foreign exchange markets |
url |
http://www.gbfrjournal.org/pds/journal/thesis/20150624163350-9FO5E.pdf |
work_keys_str_mv |
AT rajaroskar theasiancrisisandmarketefficiencyadifferentperspective AT peggyswanson theasiancrisisandmarketefficiencyadifferentperspective AT rajaroskar asiancrisisandmarketefficiencyadifferentperspective AT peggyswanson asiancrisisandmarketefficiencyadifferentperspective |
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1724265472686292992 |