A Composite Efficiency Index for ASEAN Foreign Exchange Markets
Why this work is in the frame
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Bibliographic record
Abstract
The Efficient Market Hypothesis (EMH) has long been a central paradigm in finance, yet mounting evidence suggests that market efficiency is neither uniform across assets nor constant over time. This study examines the dynamics of foreign exchange (FX) market efficiency in six ASEAN economies (Vietnam, Thailand, Indonesia, Malaysia, the Philippines, and Singapore) over the period January 2000 to August 2025. Using daily bilateral exchange rates against the U.S. dollar, we construct twelve sub-indices that capture serial dependence, volatility clustering, distributional anomalies, and microstructure frictions. These standardized measures are then aggregated through principal component analysis (PCA) into a Composite Efficiency Index (CEI), complemented by an equal-weighted average as a robustness check. The empirical results reveal three key findings. First, inefficiency has declined significantly over time, consistent with the Adaptive Market Hypothesis (AMH), but with pronounced spikes during global and local crises such as the Global Financial Crisis and the COVID-19 pandemic. Second, substantial heterogeneity is observed across markets: Singapore emerges as the most efficient, while Vietnam is persistently the least efficient. Third, changes in CEI predict higher-order return dependencies, though not mean returns themselves, underscoring its validity as a forward-looking measure. These results provide new insights into the evolving nature of FX efficiency, offering both academic contributions and policy relevance.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.005 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.005 | 0.006 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.001 | 0.000 |
| Open science | 0.002 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it