我国外汇市场有效性实证研究

在有效市场理论的基础上,从中国外汇市场的发展现状出发,以2005年7月21日我国实行汇率改革为界,分前后两阶段,运用随机游走模型、ADF检验、PP检验及汇率收益率自相关检验,对中国外汇市场中美元、港元、欧元及日元对人民币汇率市场进行了有效性检验。美元、日元及港元对人民币汇率汇改前不满足弱式有效性,汇改后满足弱式有效性;欧元汇改前后均满足弱式有效性。

An Empirical Study on the Effectiveness of China's Foreign Exchange Market

Based on the theory of efficient market,from the current development of China's foreign exchange market,using random walk model,ADF test,PP test and autocorrelation test on exchange rate return,this paper studies the effectiveness of China's foreign exchange market as defined in two stages before and after July 21,2005 when China carried out the exchange rate reform,testing the effectiveness of USD,HKD,Euro and JPY against RMB.The exchange rates of USD,JPY and HKD against RMB fail to meet the weak effectiveness before China's exchange rate reform,but meet the weak effectiveness after China's exchange rate reform.The exchange rates of Euro against RMB meet the weak effectiveness before and after China's exchange rate reform.