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

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Author Info
Hideki Izawa (Research Institute for Economics and Business Administration, Kobe University)
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.

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File URL: http://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/dp196.pdf
File Format: application/pdf
File Function: First version, 2006
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Publisher Info
Paper provided by Research Institute for Economics & Business Administration, Kobe University in its series Discussion Paper Series with number 196.

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Length: 10 pages
Date of creation: Nov 2006
Date of revision:
Handle: RePEc:kob:dpaper:196

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Related research
Keywords: renminbi; non-deliverable forward (NDF); foreign exchange market efficiency hypothesis;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation

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This page was last updated on 2009-12-21.

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