Market Efficiency of the Malaysian Ringgit Against the Selected Asean Currencies Exchange Rates, For Pre-, During, And Post-Covid-19 Pandemic

This study investigates the weak-form Efficient Market Hypothesis (EMH) for the Malaysian Ringgit (MYR) against selected ASEAN currencies, namely Brunei Darussalam (BND), Indonesia (IDR), the Philippines (PHP), Singapore (SGD), and Thailand (THB), using monthly bilateral exchange rate data from 1990 to 2023. The analysis employs the Augmented Dickey-Fuller (ADF) unit root test to examine whether the exchange rates follow a random walk process, thereby testing the validity of the weak-form EMH across three distinct periods: pre-, during, and post-COVID-19. The findings confirm that all bilateral exchange rate series are integrated of order one, I(1), and are therefore consistent with the weak-form EMH. They show that all bilateral exchange rate series are non-stationary at level but stationary after first differencing. This suggests that ASEAN foreign exchange markets are generally efficient and that historical exchange rate data cannot forecast future movements. However, due to increased uncertainty and decreased market stability, efficiency momentarily declined during the COVID-19 pandemic, especially for MYR/Philippines and MYR/Brunei. As exchange rate volatility returned to normal, post-pandemic results indicate a partial recovery in efficiency. The results show how ASEAN foreign exchange markets are becoming more resilient and integrated, but they also stress how crucial transparent monetary policy, regional cooperation, and financial market depth are to maintaining informational efficiency.

Weak-Form EMH, Malaysian Ringgit, ASEAN Currencies

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