Rui Dias – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal and CEFAGE-UE, IIFA,
University of Évora, Portugal
Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Paulo Alexandre
– School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Hortense Santos – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Cristina Vasco
– IEFP, Portugal


5th International Scientific Conference – EMAN 2021 – Economics and Management: How to Cope With Disrupted Times, Online/Virtual, March 18, 2021, CONFERENCE PROCEEDINGS published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-43-1, ISSN 2683-4510


This essay aims to analyze the efficiency, in its weak form, in the Exchange Markets IDR/MYR
(Indonesia-Malaysia), IDR/PHP (Indonesia-Philippines), IDR/SGD (Indonesia-Singapore), IDR/THB
(Indonesia-Thailand), IDR/GBP (Indonesia-UK), IDR/US (Indonesia-USA), IDR/EUR (Indonesia-Euro
Zone/Europe). The sample comprises the period from September 3, 2018, to October 20, 2020, and the
sample was partitioned into two subperiods: Pre-Covid and Covid. To carry out this analysis, different
approaches were undertaken to assess whether: (i) the global pandemic promoted in(efficiency) in the
exchange rates of Indonesia vs Malaysia, Philippines, Singapore, Thailand, UK, USA, Eurozone? The
results suggest that in the Pre-Covid subperiod we can see that the random walk hypothesis is rejected,
IDR/MYR (0.61), IDR/SGD (0.60), IDR/US (0.59), IDR/THB (0.56), IDR/EUR (0.55), IDR/GBP (0.54),
except for the IDR/PHP pair (0.45) which evidences anti persistence. Already in the Covid period, we
noticed that persistence increased significantly, like followed, IDR/EUR (0.82), IDR/PHP (0.81) IDR/SGD
(0.80), IDR/US (0.80), IDR/MYR (0.78), IDR/THB (0.71), IDR/GBP (0.62). These findings show high levels
of arbitrage, i.e., investors will be able to obtain abnormal profitability without incurring the additional
risk, which could jeopardize the implementation of efficient portfolio diversification strategies due to
market imbalance. The authors believe that these findings can help policymakers formulate a comprehensive
response to improve the efficiency of the foreign exchange market during a global pandemic event.


Exchange rates, Efficiency, Arbitration, Portfolio diversification.


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