Title

Revisiting efficiency in the foreign exchange market amid financial crises through detrended fluctuation analysis: A comparative case study on the Philippines and South Korea

Date of Publication

2017

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Adviser

Ricarte Pinlac

Defense Panel Chair

Junette Perez

Defense Panel Member

Kristine Mae Lagdameo

Liberty Patiu

Abstract/Summary

The foreign exchange (forex) market is the largest financial market, with an average daily trading volume of $1.7 trillion in numerous currencies traded worldwide. Likewise, this market is perceived to be highly volatile, which begs the question as to whether its participants are able to make sense of its fluctuations. As such, this study aimed to add on to the growing literature of the forex market by measuring its efficiency amid financial crises. The researchers tested the weak-form efficient market hypothesis (EMH) framework of two spot exchange rates pegged to the US dollar- the Philippine peso and the Korean won, across 1997-2016 through the detrended fluctuation analysis (DFA). To provide more accurate results, the researchers further divided the time frame into ten sub-periods. The results exhibited that both exchange rates are weak-form efficient across the entire period, but inefficient across particular sub-periods. Conclusions are then drawn from the results in order to explain the phenomena.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU19975

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

129, 4 leaves : illustrations (some color) ; 29 cm. + 1 computer disc ; 4 3/4 in.

Keywords

Foreign exchange--Philippines; Foreign exchange--Korea (South)

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