Dataset on composite efficiency indices for ASEAN foreign exchange markets

This data article presents a reproducible dataset designed to measure time-varying efficiency in selected ASEAN foreign exchange (FX) markets. The dataset covers six ASEAN currencies against the U.S. dollar—Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam—over the period January 2000 to August 2025. Daily exchange rate observations (open, high, low, and close) are obtained from publicly accessible financial data providers and official sources. These raw observations are not redistributed; instead, they serve as inputs to a fully documented transformation pipeline. Using rolling-window procedures applied to daily data, ten efficiency sub-indices are constructed to capture distinct dimensions of deviations from random-walk behavior, including serial dependence, volatility dynamics, long-memory characteristics, distributional asymmetry, and tail risk. All sub-indices are standardized and aggregated through principal component analysis to form a Composite Efficiency Index (CEI), yielding a harmonized monthly measure that is comparable across markets and over time. The repository provides the processed monthly efficiency sub-indices, the Composite Efficiency Index, and complete R scripts that reproduce the entire data-generation workflow. By separating data acquisition from transformation and ensuring full computational reproducibility, the dataset supports transparent empirical research on FX market efficiency, cross-country comparisons, forecasting applications, and methodological extensions in financial econometrics.