Market efficiency and cointegration: Some evidence in pacific-basin black exchange markets

Kam C. Chan, Tsz Wan Cheng, Ming Shiun Pan

Research output: Journal article publicationJournal articleAcademic researchpeer-review

7 Citations (Scopus)


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.
Original languageEnglish
Pages (from-to)25-31
Number of pages7
JournalJournal of Economics and Finance
Issue number1
Publication statusPublished - 1 Jan 1997
Externally publishedYes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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