Money market efficiency of South East Asian countries

Abstract

It is believed that one of the major causes behind the Asian economic crisis was the region's inability to manage the huge capital inflow in the early 1990s due to its inefficient financial market. This paper examines the efficiency of money markets of five South East Asia countries We also divide the sample into periods before and after interest rates liberalization to determine the impact of financial liberalization on the efficiency of these markets. We find evidence of interest rates rigidity before and after the financial reforms, as well as throughout the 1990s. In Malaysia and Thailand, we found evidence of worsening efficiency in the 1990s.