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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis

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Author(s):
Diniz-Maganini, Natalia [1] ; Rasheed, Abdul A. [2] ; Sheng, Hsia Hua [1]
Total Authors: 3
Affiliation:
[1] FGV EAESP Sao Paulo Sch Business Adm, Getulio Vargas Fdn, Dept Accounting & Finance, Rua Itapeva 474, 8th Floor, Bela Vista, BR-01332000 Sao Paulo, SP - Brazil
[2] Univ Texas Arlington, Coll Business Adm, Dept Management, Box 19467, Arlington, TX 76019 - USA
Total Affiliations: 2
Document type: Journal article
Source: JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY; v. 73, JUL 2021.
Web of Science Citations: 0
Abstract

We analyze how different currency regimes influence the price efficiency of exchange rates. Based on an analysis of a sample of 20 exchange rates (covering 39 countries) over a 15-year period using MF-DFA (Multifractal Detrended Fluctuation Analysis), we find that currencies of countries following a Free Float regime show greater price efficiency than currencies of countries following a Managed Float regime. We also examined the impact of the financial crisis of 2008-09 on the price efficiency of these currencies. Our results suggest that currencies following the Free Float exchange regime experienced significantly greater deterioration in their price efficiency than currencies under Managed Float regimes. Even more interestingly, the efficiency of the currencies of the Free Float countries have not fully recovered even a decade after the crisis. (c) 2021 Published by Elsevier B.V. (AU)

FAPESP's process: 18/17477-8 - Cross - Listing and issuance of debts in the efficient market context: a study of the Brazilian Market
Grantee:Natalia Diniz-Maganini
Support Opportunities: Scholarships in Brazil - Post-Doctoral