Are the asean-5 foreign exchange markets efficient? evidence from indonesia, thailand, malaysia, singapore, and philippines: post-global economic crisis 2008 / Aditya Andika Putra, Hanny Lindawati, Sarah Fitri Sari
Aditya Andika Putra;
Hanny Lindawati
Sarah Fitri Sari
(Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2016)
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| This paper examines market efficiency of foreign exchange markets in South East Asia (Indonesia,Thailand, Malaysia, Singapore, and Philippines) after the global crisis period 2008. The time spancovered by the samples are from 2009 to 2014, with the total number of observations for spot and forwardexchange rate data amounting to 1565 data points. This study uses three different approachesto examine efficiency within countries and across countries. The result of this study shows that foreignexchange markets in the ASEAN-5 countries are efficient within countries, but have not been efficientacross countries, especially when the country has a bivariate relationship with Thailand’s foreignexchange market. The main implication of this study is that investors in the ASEAN-5 market cannotobtain abnormal returns using technical analysis on within countries foreign exchange market. Inaddition, there is no significant differences for participants in the foreign exchange market whetherthey are using hedging or not hedging. |
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| Penerbitan : | [Place of publication not identified]: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2016 |
| Sumber Pengatalogan : | LibUI eng rda |
| ISSN : | 23563818 |
| Majalah/Jurnal : | Indonesian Capital Market Review |
| Volume : | Vol 8 No 2 July 2016 83-93 |
| Tipe Konten : | text |
| Tipe Media : | computer |
| Tipe Carrier : | online resource |
| Akses Elektronik : | http://journal.ui.ac.id/index.php/icmr/article/viewFile/5680/pdf |
| Institusi Pemilik : | Universitas Indonesia |
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