Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes

Based on ultrahigh-frequency returns, this paper comprehensively revisits the weak-form efficiency of the euro to Swiss franc (EUR/CHF) exchange rate market from 2002 to 2017, including the efficiency of several long periods and intraday efficiency. To this end, we employ Hurst index as the indicator of the degree of efficiency. The Jarque–Bera test demonstrates that the high-frequency logarithm return of EUR/CHF does not accord with a normal distribution. Further, a strict statistical test in the spirit of bootstrapping is performed to validate the statistical significance of Hurst indices of the EUR/CHF exchange rate returns. The results indicate that the EUR/CHF exchange rate market possesses an extremely mild anti-persistence when the full sample is investigated. Similarly, a weak anti-persistence is also found in five fixed sub-samples which can been roughly split into “free float” periods and “intervention” periods owing to the SNB’s interventions. When it comes to the intraday efficiency tests on EUR/CHF exchange rate market, we find the majority of intraday Hurst indices follow a downward departure from 0.5, which roughly provides an evidence for intraday market inefficiency. Overall, at the level of long period returns, the Hurst values show an approach to 0.5, whereas most Hurst indices of intraday returns exhibit a relatively large deviation from 0.5. Besides, the intraday Hurst indices present that the announcement of lower bound can be approximatively regarded as a turning point of the market efficiency, which potentially indicates that the SNB’s interventions might reduce the efficiency of the studied market.