  We investigate the relative market efficiency in financial market data, using
the approximate entropy(ApEn) method for a quantification of randomness in time
series. We used the global foreign exchange market indices for 17 countries
during two periods from 1984 to 1998 and from 1999 to 2004 in order to study
the efficiency of various foreign exchange markets around the market crisis. We
found that on average, the ApEn values for European and North American foreign
exchange markets are larger than those for African and Asian ones except Japan.
We also found that the ApEn for Asian markets increase significantly after the
Asian currency crisis. Our results suggest that the markets with a larger
liquidity such as European and North American foreign exchange markets have a
higher market efficiency than those with a smaller liquidity such as the
African and Asian ones except Japan.
