  We analyze the multifractal spectra of daily foreign exchange rates for
Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar
from 1991 to 2005. We find that the return time series show multifractal
spectrum features for all four cases. To observe the effect of the Asian
currency crisis, we also estimate the multifractal spectra of limited series
before and after the crisis. We find that the Korean and Thai foreign exchange
markets experienced a significant increase in multifractality compared to
Hong-Kong and Japan. We also show that the multifractality is stronge related
to the presence of high values of returns in the series.
