TY  - JOUR
AB  - We investigate the long‐term dependency behavior of Asian foreign exchange markets by using rescaled range analysis. Emerging markets in Korea, Taiwan, India, and Thailand, show evidences of long memory in the exchange rate return series, while the exchange rate return persistence is not found in more developed and mature markets in Japan, Australia, Hong Kong, and Singapore. Our results suggest that the return‐generating processes and presence of long memory depends on the degree of market development. In addition, the findings suggest that Asian financial crisis affects long‐term dependences of Korean won and Thai baht in which their economies and currency were hard hit by the crisis.
VL  - 4
IS  - 1
SN  - 1558-7894
DO  - 10.1108/15587890980001519
UR  - https://doi.org/10.1108/15587890980001519
AU  - Hsieh Shu‐Fan
AU  - Shyu So‐De
PY  - 2009
Y1  - 2009/01/01
TI  - Long‐term Dependence in Asian Foreign Exchange Markets
T2  - Journal of Asia Business Studies
PB  - Emerald Group Publishing Limited
SP  - 49
EP  - 55
Y2  - 2024/09/23
ER  -