An Empirical Test of the Efficiency Hypothesis on the Renminbi NDF in Hong Kong Market
AbstractIn 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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Bibliographic InfoPaper provided by Research Institute for Economics & Business Administration, Kobe University in its series Discussion Paper Series with number 196.
Length: 10 pages
Date of creation: Nov 2006
Date of revision:
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Renminbi; Non-deliverable forward (NDF); Foreign exchange market efficiency hypothesis;
Other versions of this item:
- Hideki Izawa, 2008. "An Empirical Test of the Efficiency Hypothesis on the Renminbi NDF in Hong Kong Market," Kobe Economic & Business Review, Research Institute for Economics & Business Administration, Kobe University, vol. 52, pages 1-6, February.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
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- 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.
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