Market Efficiency in Foreign Exchange Markets

Abstract

We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to study the efficiency of various foreign exchange markets around the market crisis. We found that on average, the ApEn values for European and North American foreign exchange markets are larger than those for African and Asian ones except Japan. We also found that the ApEn for Asian markets increase significantly after the Asian currency crisis. Our results suggest that the markets with a larger liquidity such as European and North American foreign exchange markets have a higher market efficiency than those with a smaller liquidity such as the African and Asian ones except Japan.

References in corpus (2)

• Long-range correlations and nonstationarity in the Brazilian stock market
• Measuring Volatility Clustering in Stock Markets

Cited by in corpus (6)

• A Multifractal Analysis of Asian Foreign Exchange Markets
• Relationship between degree of efficiency and prediction in stock price changes
• Group dynamics of the Japanese market
• Effects of time dependency and efficiency on information flow in financial markets
• Financial time-series analysis: A brief overview
• Market inefficiency identified by both single and multiple currency trends