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Examination of the efficient market hypothesis--the case of post-crisis Asia Pacific countries

Listed author(s):
  • Kan, Denis
  • Andreosso-O'Callaghan, B.
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File URL: http://www.sciencedirect.com/science/article/pii/S1049-0078(07)00006-1
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Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 18 (2007)
Issue (Month): 2 (April)
Pages: 294-313

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Handle: RePEc:eee:asieco:v:18:y:2007:i:2:p:294-313
Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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  1. Leonardo Hernández & Peter J. Montiel, 2002. "Post-crisis exchange rate policy in five Asian countries: filling in the "hollow middle"?," Pacific Basin Working Paper Series 2002-07, Federal Reserve Bank of San Francisco.
  2. Gerlach, Stefan & Smets, Frank, 1994. "Contagious Speculative Attacks," CEPR Discussion Papers 1055, C.E.P.R. Discussion Papers.
  3. Wu, Jyh-Lin & Chen, Show-Lin, 1998. "Foreign exchange market efficiency revisited," Journal of International Money and Finance, Elsevier, vol. 17(5), pages 831-838, October.
  4. Nagayasu, Jun, 2001. "Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand," Journal of Asian Economics, Elsevier, vol. 12(4), pages 529-546.
  5. Bang Nam Jeon & Euiseong Lee, 2002. "Foreign exchange market efficiency, cointegration, and policy coordination," Applied Economics Letters, Taylor & Francis Journals, vol. 9(1), pages 61-68.
  6. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-181, March.
  7. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  8. Haug, Alfred A. & MacKinnon, James G. & Michelis, Leo, 2000. "European Monetary Union: a cointegration analysis," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 419-432, June.
  9. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
  10. MacDonald, Ronald & Taylor, Mark P., 1989. "Foreign exchange market efficiency and cointegration : Some evidence from the recent float," Economics Letters, Elsevier, vol. 29(1), pages 63-68.
  11. Jesper Rangvid & Carsten Sørensen, 2002. "Convergence in the ERM and Declining Numbers of Common Stochastic Trends," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 1(2), pages 183-213, September.
  12. Choudhry, Taufiq, 1999. "Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 433-453, November.
  13. Corsetti, Giancarlo & Pesenti, Paolo & Roubini, Nouriel, 1999. "What caused the Asian currency and financial crisis?," Japan and the World Economy, Elsevier, vol. 11(3), pages 305-373, October.
  14. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
  15. Wang, Peijie & Jones, Trefor, 2002. "Testing for efficiency and rationality in foreign exchange markets--a review of the literature and research on foreign exchange market efficiency and rationality with comments," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 223-239, April.
  16. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
  17. Rapp, Tammy A. & Sharma, Subhash C., 1999. "Exchange rate market efficiency: across and within countries," Journal of Economics and Business, Elsevier, vol. 51(5), pages 423-439, September.
  18. Frederic S. Mishkin, 2000. "Lessons from the Asian Crisis," NBER Working Papers 7102, National Bureau of Economic Research, Inc.
  19. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001.
  20. Aroskar, Raj & Sarkar, Salil K. & Swanson, Peggy E., 2004. "European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 333-347.
  21. Khalid, Ahmed M. & Kawai, Masahiro, 2003. "Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model," Journal of Asian Economics, Elsevier, vol. 14(1), pages 131-156, February.
  22. Bekaert, Geert & Hodrick, Robert J., 1993. "On biases in the measurement of foreign exchange risk premiums," Journal of International Money and Finance, Elsevier, vol. 12(2), pages 115-138, April.
  23. Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 1998. "What Caused the Asian Currency and Financial Crisis? Part I: A Macroeconomic Overview," NBER Working Papers 6833, National Bureau of Economic Research, Inc.
  24. Villanueva, O. Miguel, 2007. "Spot-forward cointegration, structural breaks and FX market unbiasedness," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(1), pages 58-78, February.
  25. Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, vol. 42(4), pages 385-390.
  26. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, vol. 58(4), pages 323-342.
  27. Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 1998. "What Caused the Asian Currency and Financial Crisis? Part II: The Policy Debate," NBER Working Papers 6834, National Bureau of Economic Research, Inc.
  28. Crowder, William J, 1994. "Foreign exchange market efficiency and common stochastic trends," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 551-564, October.
  29. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  30. Jeon, Bang Nam & Seo, Byeongseon, 2003. "The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 509-525, September.
  31. Coleman, Mark, 1990. "Cointegration-based tests of daily foreign exchange market efficiency," Economics Letters, Elsevier, vol. 32(1), pages 53-59, January.
  32. Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
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