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| | SSRN-Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets by Cornelis Los |
 | | The efficiency of these FX markets before and after the onset of the Asian currency turmoil (i.e., January 1 - June 30, 1997 and July 1 - December 30, 1997) are compared. |
 | | The Thai baht, Malaysian ringgit, Indonesian rupiah and Singapore dollar exhibited non-stationary behavior during the entire year, and gave evidence of a trading regime break, while the Phillipines' peso, Taiwan dollar, Yen and Deutschmark remained stationary (The Hong Kong dollar was pegged). |
 | | However, each half-year regime showed stationarity by itself, indicating stable and nonchaotic trading regimes for all currencies, despite the high volatilities, except the Malaysian ringgit, which exhibited non-stationarity in the second half of 1997. |
| papers.ssrn.com /sol3/papers.cfm?abstract_id=138388 (531 words) |
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