Dataset on composite efficiency indices for ASEAN foreign exchange markets

Area of Science:

• Financial econometrics
• Computational finance
• Economic modeling

Background:

• Foreign exchange (FX) markets are crucial for international trade and investment.
• Assessing FX market efficiency is vital for understanding price discovery and predictability.
• Existing datasets often lack comprehensive, reproducible measures of time-varying efficiency.

Purpose of the Study:

• To present a reproducible dataset for measuring time-varying efficiency in selected ASEAN FX markets.
• To provide a harmonized monthly measure of FX market efficiency comparable across markets and time.
• To support empirical research, cross-country comparisons, and forecasting applications in financial econometrics.

Main Methods:

• Utilized daily exchange rate data (open, high, low, close) for six ASEAN currencies against the USD (2000-2025).
• Constructed ten efficiency sub-indices using rolling-window procedures to capture deviations from random-walk behavior.
• Standardized sub-indices and employed principal component analysis to create a Composite Efficiency Index (CEI).

Main Results:

• Developed a comprehensive dataset of monthly efficiency sub-indices and a CEI for six ASEAN FX markets.
• Ensured full computational reproducibility through documented R scripts and a transparent transformation pipeline.
• The dataset facilitates analysis of serial dependence, volatility dynamics, long-memory, asymmetry, and tail risk.

Conclusions:

• The presented dataset enhances transparency and reproducibility in FX market efficiency research.
• The harmonized CEI allows for robust cross-market and time-series comparisons.
• This resource supports advanced empirical studies and methodological developments in financial econometrics.