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In this study , an attempt is made to test the Fractal Markets Hypothesis
(FMH) which states that a financial market can plunge into crisis when a particular
trading time horizon gains prominence over others. We apply a wavelet-based
method to capture the activities in different timescales. We test the proposition for
nine Asian forex markets of China, India, Hongkong, Japan, South Korea, Singapore,
Sri Lanka, Taiwan, and Thailand for the period from 05-01-1994 to 30-06-
2017. We use bilateral daily exchange rate of the corresponding currencies against
the US Dollar. The time period covers two major crises and they are the 1997–1998
East Asian currency crisis and the 2008 global financial crisis. The study captures
both the events, and from the wavelet spectra, it is evident that the crisis period
distinguishes itself with increased activity by the short-term traders as proposed by
the FMH. It is also found that the 1997–1998 crises affected not only the East Asian
markets, but also the other forex markets as well.