Journal of Korea Port Economic Association (한국항만경제학회지)
- Volume 19 Issue 2
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- Pages.111-139
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- 2003
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- 1225-3855(pISSN)
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- 2714-1330(eISSN)
An Empirical Study on Asia Foreign Exchange Market Efficiency
아시아 외환시장의 효율성 분석
Abstract
In this paper, the unbiasedness hypothesis cannot be rejected for JPY. It means that Japanese forward exchange market is efficient. This implies that there would not be an unusual profit from speculation. However, the unbiasedness hypothesis can be rejected for THB, HKD, IDR. It means that Asian forward exchange market is inefficient. This implies that there would be an unusual profit from all available information. This suggests that forward exchange rates cannot be an unbiased estimator of future spot exchange rate. This result explains that the actual pricing for forward rate is not based on the international financial market's pricing mechanism of interest rate parity theory, but rather depends upon that simple market expectations and aspirations.