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Long‐term Dependence in Asian Foreign Exchange Markets

Long‐term Dependence in Asian Foreign Exchange Markets We investigate the long‐term dependency behavior of Asian foreign exchange markets by using rescaled range analysis. Emerging markets in Korea, Taiwan, India, and Thailand, show evidences of long memory in the exchange rate return series, while the exchange rate return persistence is not found in more developed and mature markets in Japan, Australia, Hong Kong, and Singapore. Our results suggest that the return‐generating processes and presence of long memory depends on the degree of market development. In addition, the findings suggest that Asian financial crisis affects long‐term dependences of Korean won and Thai baht in which their economies and currency were hard hit by the crisis. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Asia Business Studies Emerald Publishing

Long‐term Dependence in Asian Foreign Exchange Markets

Journal of Asia Business Studies , Volume 4 (1): 7 – Oct 16, 2009

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Publisher
Emerald Publishing
Copyright
Copyright © 2009 Emerald Group Publishing Limited. All rights reserved.
ISSN
1558-7894
DOI
10.1108/15587890980001519
Publisher site
See Article on Publisher Site

Abstract

We investigate the long‐term dependency behavior of Asian foreign exchange markets by using rescaled range analysis. Emerging markets in Korea, Taiwan, India, and Thailand, show evidences of long memory in the exchange rate return series, while the exchange rate return persistence is not found in more developed and mature markets in Japan, Australia, Hong Kong, and Singapore. Our results suggest that the return‐generating processes and presence of long memory depends on the degree of market development. In addition, the findings suggest that Asian financial crisis affects long‐term dependences of Korean won and Thai baht in which their economies and currency were hard hit by the crisis.

Journal

Journal of Asia Business StudiesEmerald Publishing

Published: Oct 16, 2009

Keywords: Long‐term dependence; Rescaled range analysis; Hurst exponent; Asian markets

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