Journal of Economics and Finance

, Volume 21, Issue 1, pp 25–31 | Cite as

Market efficiency and cointegration: Some evidence in Pacific-Basin black exchange markets

  • Kam C. Chan
  • Louis T. W. Cheng
  • Ming-Shiun Pan


This paper investigates the efficiency of the black exchange markets in Indonesia, Malaysia, the Philippines, South Korea, Taiwan, and Thailand. The study applies unit root and cointegration tests to examine black exchange market efficiency of Pacific-Basin countries. The generating process of black exchange rates appears to be a random walk. This is consistent with Gupta (1981) and other foreign exchange rate unit root test studies. Johansen cointegration tests are performed for these black exchange markets together with Japan and Singapore. The results suggest that there is at least one unit root among the black market exchange rates. Hence, black exchange markets are not collectively efficient.


Exchange Rate Unit Root Unit Root Test Market Efficiency Cointegration Test 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer 1997

Authors and Affiliations

  • Kam C. Chan
    • 1
  • Louis T. W. Cheng
    • 2
  • Ming-Shiun Pan
    • 3
  1. 1.School of Business and TechnologyUniversity of Wisconsin-ParksideKenosha
  2. 2.Department of Economics and FinanceMurray State UniversityMurray
  3. 3.Department of Finance, Management Science and Information SystemsShippensburg UniversityShippensburg

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