Advanced Search
MyIDEAS: Login to save this paper or follow this series

An Empirical Test of the Efficiency Hypothesis on the Renminbi NDF in Hong Kong Market

Contents:

Author Info

  • Hideki Izawa

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

Abstract

In this paper we analyze empirically the efficiency hypothesis after the revaluation on July 21, 2005, using daily non-deliverable forward (NDF) renminbi rates in the Hong Kong market. The efficiency hypothesis for the renminbi NDF market is rejected. Therefore, the NDF rate is not an unbiased predictor of the future spot rate.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/dp196.pdf
File Function: First version, 2006
Download Restriction: no

Bibliographic Info

Paper provided by Research Institute for Economics & Business Administration, Kobe University in its series Discussion Paper Series with number 196.

as in new window
Length: 10 pages
Date of creation: Nov 2006
Date of revision:
Handle: RePEc:kob:dpaper:196

Contact details of provider:
Postal: 2-1 Rokkodai, Nada, Kobe 657-8501 JAPAN
Phone: +81-(0)78 803 7036
Fax: +81-(0)78 803 7059
Web page: http://www.rieb.kobe-u.ac.jp/index-e.html
More information through EDIRC

Related research

Keywords: Renminbi; Non-deliverable forward (NDF); Foreign exchange market efficiency hypothesis;

Other versions of this item:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Behera, Harendra, 2010. "Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover," MPRA Paper 22247, University Library of Munich, Germany.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:kob:dpaper:196. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Office of Promoting Research Collaboration, Research Institute for Economics & Business Administration, Kobe University).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.