Abstract
This research examines the foreign exchange market efficiency in Indonesia using currency pairs chosen based on Indonesia’s largest international trading partner by volume, namely, China, United States and Japan. Consequently, the currency pairs used for this research are IDR/USD, IDR/JPY, IDR/CNY. The test utilizes the Augmented Dickey Fuller procedure in determining whether the datasets contain any unit roots in which case foreign exchange price movements follow a random walk movement (non-stationary), or not (stationary). The research findings show that historical data for all three currencies follow a random walk process or the market is weak-form efficient.
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