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

Author

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  • 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.

Suggested Citation

  • Hideki Izawa, 2006. "An Empirical Test of the Efficiency Hypothesis on the Renminbi NDF in Hong Kong Market," Discussion Paper Series 196, Research Institute for Economics & Business Administration, Kobe University.
  • Handle: RePEc:kob:dpaper:196
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    File URL: http://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/dp196.pdf
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    Cited by:

    1. Harendra Kumar Behera, 2011. "Onshore and offshore market for Indian rupee: recent evidence on volatility and shock spillover," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(1), pages 43-55.

    More about this item

    Keywords

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

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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