Natalia Diniz-Maganini , Abdul A. Rasheed , Hsia Hua Sheng
{"title":"Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis","authors":"Natalia Diniz-Maganini , Abdul A. Rasheed , Hsia Hua Sheng","doi":"10.1016/j.latcb.2022.100081","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper, we analyze BRICS countries’ long-term exchange rate market efficiency. Our analysis, using multifractal detrended fluctuation analysis (MFDFA) for the 2009–2021 period, shows considerable differences in the exchange rate efficiency of BRICS countries, with South Africa the most efficient and China the least efficient. Based on daily exchange rates, our analysis shows that after a country shifts to a flexible exchange rate regime, the price efficiency of its currency improves, but not immediately. All the BRICS countries show improvements in market efficiency over the 13-year period of our study. The adaptive market hypothesis supports our finding of efficiency improvements over time more than the efficient market hypothesis does.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 1","pages":"Article 100081"},"PeriodicalIF":0.0000,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Latin American Journal of Central Banking","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2666143822000357","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
In this paper, we analyze BRICS countries’ long-term exchange rate market efficiency. Our analysis, using multifractal detrended fluctuation analysis (MFDFA) for the 2009–2021 period, shows considerable differences in the exchange rate efficiency of BRICS countries, with South Africa the most efficient and China the least efficient. Based on daily exchange rates, our analysis shows that after a country shifts to a flexible exchange rate regime, the price efficiency of its currency improves, but not immediately. All the BRICS countries show improvements in market efficiency over the 13-year period of our study. The adaptive market hypothesis supports our finding of efficiency improvements over time more than the efficient market hypothesis does.
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