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

Jing Qin, Xinsheng Lu, Ying Zhou and Ling Qu

Physica A: Statistical Mechanics and its Applications, 2015, vol. 421, issue C, 443-454

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.

Keywords: Multifractality; RMB exchange rate regime; Generalized Hurst exponent (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:421:y:2015:i:c:p:443-454

DOI: 10.1016/j.physa.2014.11.053

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