This paper examines market efficiency of foreign exchange markets in South East Asia (Indonesia,
Thailand, Malaysia, Singapore, and Philippines) after the global crisis period 2008. The time span
covered by the samples are from 2009 to 2014, with the total number of observations for spot and forward
exchange rate data amounting to 1565 data points. This study uses three different approaches
to examine efficiency within countries and across countries. The result of this study shows that foreign
exchange markets in the ASEAN-5 countries are efficient within countries, but have not been efficient
across countries, especially when the country has a bivariate relationship with Thailand’s foreign
exchange market. The main implication of this study is that investors in the ASEAN-5 market cannot
obtain abnormal returns using technical analysis on within countries foreign exchange market. In
addition, there is no significant differences for participants in the foreign exchange market whether
they are using hedging or not hedging.
