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

Hideki Izawa
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Hideki Izawa: Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan

No 196, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

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.

Keywords: Renminbi; Non-deliverable forward (NDF); Foreign exchange market efficiency hypothesis (search for similar items in EconPapers)
JEL-codes: F31 F37 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2006-11
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Citations: View citations in EconPapers (1)

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https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/dp196.pdf First version, 2006 (application/pdf)

Related works:
Journal Article: An Empirical Test of the Efficiency Hypothesis on the Renminbi NDF in Hong Kong Market (2008)
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