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The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis

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Listed:
  • Qin, Jing
  • Lu, Xinsheng
  • Zhou, Ying
  • Qu, Ling

Abstract

This paper examines the effectiveness of the RMB regime reforms on market efficiency improving for the mainland onshore market and Hong Kong offshore market. Based on multifractal detrended fluctuation analysis (MF-DFA), we study the multifractal properties as well as multifractality degree of RMB/USD and RMB/HKD exchange markets. Our empirical results show that, the first RMB regime reform undertaken on July 21, 2005 has a greater impact on RMB/USD exchange market in the short term, while the second RMB exchange reform undertaken on June 19, 2010 exerts the long-term influences on the efficiency of both RMB/USD and RMB/HKD markets. Further, RMB/HKD market is found to work more efficiently, although both mainland onshore market and Hong Kong offshore market have achieved a higher level of efficiency post reforms.

Suggested Citation

  • Qin, Jing & Lu, Xinsheng & Zhou, Ying & Qu, Ling, 2015. "The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 443-454.
  • Handle: RePEc:eee:phsmap:v:421:y:2015:i:c:p:443-454
    DOI: 10.1016/j.physa.2014.11.053
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    References listed on IDEAS

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    Cited by:

    1. Lahmiri, Salim, 2017. "On fractality and chaos in Moroccan family business stock returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 29-39.
    2. Yao, Can-Zhong & Lin, Ji-Nan & Zheng, Xu-Zhou & Liu, Xiao-Feng, 2015. "The study of RMB exchange rate complex networks based on fluctuation mode," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 359-376.
    3. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
    4. Yao, Can-Zhong & Lin, Ji-Nan & Zheng, Xu-Zhou, 2017. "Coupling detrended fluctuation analysis for multiple warehouse-out behavioral sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 75-90.
    5. Lahmiri, Salim, 2017. "Investigating existence of chaos in short and long term dynamics of Moroccan exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 655-661.
    6. repec:eee:phsmap:v:486:y:2017:i:c:p:168-182 is not listed on IDEAS
    7. Cao, Guangxi & Han, Yan & Li, Qingchen & Xu, Wei, 2017. "Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 119-130.

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