EconPapers    
Economics at your fingertips  
 

How did China’s foreign exchange reform affect the efficiency of foreign exchange market?

Ye Ning, Yiming Wang and Chi-wei Su

Physica A: Statistical Mechanics and its Applications, 2017, vol. 483, issue C, 219-226

Abstract: This study compares the market efficiency of China’s onshore and offshore foreign exchange markets before and after the foreign exchange reform on August 11, 2015. We use the multifractal detrended fluctuation analysis of the onshore and offshore RMB/USD spot exchange rate series as basis. We then find that the onshore foreign exchange market before the reform has the lowest market efficiency, which increased after the reform. The offshore foreign exchange market before the reform has the highest market efficiency, which dropped after the reform. This finding implies the increased efficiency of the onshore foreign exchange market and the loss of efficiency in the offshore foreign exchange market. We also find that the offshore foreign exchange market is more efficient than the onshore market and that the gap shrank after the reform. Changes in intervention of the People’s Bank of China since the reform is a possible explanation for the changes in the efficiency of the foreign exchange market.

Keywords: Foreign exchange reform; MF-DFA; Market efficiency; Offshore foreign exchange market (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437117304600
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:483:y:2017:i:c:p:219-226

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2018-02-09
Handle: RePEc:eee:phsmap:v:483:y:2017:i:c:p:219-226