This paper attempts to test the cross-country efficiency in the foreign exchange market for four countries in East Asia : Taiwan, South Korea, Japan and China,whose values of industrial output are the top four in Asia. This paper use time series methods to test whether the cointegration relations exist or not in U.S. dollar spot exchange market of the four countries . This paper use two econometric models : 2 X 1 VAR model to test mutual co-integration and 4 X 1 VAR model to test co-movements for the foreign exchange rates of the four countries. Additionally, the models includes ARCH effects for the error terms.The empirical results mostly show that there are no cointegration relationships between four countries' spot exchange rates . Based on above results as well as Granger's perspective to the market efficiency of speculative assets in 1986, this study concludes that the hypothesis of cross country efficiency holds for these four countries' foreign exchange market.

在本篇研究中，我們考慮了未預料到的訊息進而檢定歐元兌美元外匯市場的效率性。並且，我們將資料分為金融海嘯發生前後兩段期間，資料頻率為日資料。有別於之前文獻使用的訊息不完整且可能不為真實的訊息，我們考慮了所有美國及歐盟定期公布的相關經濟數據與指標，並定義未預料到訊息為數據真實質與預期值之間的差距。我們的實證結果指出，在金融海嘯前，是接受市場效率性假說的，雖然此一結果在金融海嘯發生後並不成立，但未預料到訊息的衝擊，確實會影響外匯市場效率性檢定的結果。因此過去文獻無法支持市場效率性假說之原因可能源自於忽略了未預料訊息的考量。另外，我們也發現，美國訊息與歐盟訊息存在不對稱的影響力，且市場傾向於忽略歐盟區的數據。 / In this paper, we examine the hypothesis of market efficiency in euro/dollar with un-anticipated news, which are defined as the difference between actual values and the market’s forecasts. The research data are divided into two periods of time, before and after the beginning of financial crisis. Unlike previous literatures in which the un-anticipated news are incomplete and may be unreal, our paper adopted all macroeconomic announcements and indicators of United States and the European Union. Our results before the financial crisis indicate that the market efficiency hypothesis is accepted, although the result fails to hold after the financial crisis. The result still shows the importance of the un-anticipated news in testing the foreign exchange market efficiency hypothesis. Therefore the rejection of efficiency hypothesis on foreign exchange market in the literature may result from the lack of un-anticipated news in the model. In addition, we found that impacts of U.S. and EU un-anticipated news are asymmetric on the exchange rate. Besides, the market participants tend to ignore the EU news during both periods of time.