Mariana Chambino – ESCE, Polytechnic Institute of Setúbal, Portugal

Nicole Horta – ESCE, Polytechnic Institute of Setúbal, Portugal

Rui Dias – ESCE, Polytechnic Institute of Setúbal, Portugal; Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Portugal

Russian invasion-Ukraine;
Long memories;
Exchange rates


Abstract: In this study, we analyse efficiency, in its weak form, in the ex­change rates AUD/USD (Australian dollar/US dollar), BRL/USD (Brazilian real/US dollar), CHF/USD (Swiss franc/US dollar), EUR/USD (Euro/US dollar), GBP/USD (British pound/US dollar), JYP/USD (Japanese yen/US dollar), RUB/ USD (Russian rouble/US dollar) and SGD/USD (Singapore dollar/US dollar), for the period from January 1st, 2018 to December 31st, 2022. According to the findings, foreign exchange markets in the Tranquil subperiod have mixed results, i.e. The AUD/USD, SGD/USD, and EUR/USD exchange rates are an­ti-persistent, but the JYP/USD, BRL/USD, RUB/USD, and CHF/USD markets are persistent, and the GBP/USD market is in equilibrium. In the period in­cluding the 2020 and 2022 events, we identify long memories in the AUD/ USD, BRL/USD, SGD/USD, RUB/USD exchange rates, anti-persistence in the GBP/USD, JPY/USD, and EUR/USD markets, and signs of equilibrium in the CHF/USD exchange rate. Overall, our findings suggest that market efficiency is hybrid, i.e., the exchange markets studied are rarely in equilibrium during periods of calm or stress. The evidence of oscillation between efficiency and inefficiency may lead currency traders to take full advantage of arbitrage possibilities that appear when market circumstances change.

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7th International Scientific Conference – EMAN 2023 – Economics and Management: How to Cope With Disrupted Times, Ljubljana, Slovenia, March 23, 2023, SELECTED PAPERS, published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-70-7, ISSN 2683-4510, DOI:

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Suggested citation
Chambino, M., Horta, N., & Dias, R. (2023). Evolving Efficiency of Exchange Rate Movements: A Test for Major International Currencies. In V. Bevanda (Ed.), International Scientific Conference – EMAN 2023: Vol 7. Selected Papers (pp. 47-59). Association of Economists and Managers of the Balkans.


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