This paper applies the foreign exchange market efficiency argument to post 1997 Asian (Korea, Taiwan, Thailand, Indonesia, Malaysia, Philippines, Japan, Singapore) and Australasian (Australia, New Zealand) countries by employing a VAR based Johansen co-integration approach. The regression tests are carried out for a full sample panel data, covering the 31 December 1996 to 15 May 2003 time span, of 1649 observations for spot (conversely forward) nominal exchange rates. Moreover, a Malaysian pre-peg sub-period (31 December 1996 to 2 September 1998) was also used for comparative purposes. The paper includes different testing procedures. In addition to the evidence obtained from the across-country study, cointegration tests were performed in order to re-examine within-country co-movements between forward and future spot exchange rates. The test results generally support the market efficiency hypothesis.
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