Martingale Difference Hypothesis in Asia – Pacific Foreign Exchange Market

This study examines whether the Asia – Pacific Foreign Exchange Market was in a weak form of efficiency against USD, during the period from 02/01/2010 to 31/12/2019. This study employed various linear measures, to examine the martingale behaviour of Asia – Pacific Foreign Exchange Market. The analysis found that two currencies (Australian Dollar and Chinese Renminbi), out of ten currencies, rejected MDH and behaviour patterns of those two currencies were more unpredictable than other sample currencies during the study period. It was found that majority of sample currencies, including Singapore Dollar, had fallen under the weak form of efficiency