| 人民币外汇市场弱式有效性的鞅差分检验 |
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| 引用本文： | 戴国强,李良松.人民币外汇市场弱式有效性的鞅差分检验[J].国际金融研究,2008(3). |
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| 作者姓名： | 戴国强 李良松 |
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| 作者单位： | 上海财经大学MBA学院，上海财经大学-美国北卡罗来那州立大学 |
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| 摘 要： | 外汇市场弱式有效是受到国际学术界广泛关注的一个研究课题,因为它不同于其他市场的有效性,它直接关系到套汇、国际收支、外汇储备、汇率制度和货币政策等各个方面。但是市场弱式有效的数学表述及其检验方法一直都有分歧,本文采用近年来比较常用的鞅差分检验,并用Kuan and Lee(2004)的方法来检验人民币外汇市场的弱式有效性,实证结果表明人民币对美元和港币外汇市场没有达到弱式有效,对其他货币外汇市场弱式有效性值得怀疑,人民币汇率形成机制还存在一些问题需要解决。
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| 关 键 词： | 人民币汇率 有效市场假设 鞅差分 |
Martingale Difference Test for Weak Efficiency of RMB FX Market |
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| Dai Guoqiang Li Liangsong.Martingale Difference Test for Weak Efficiency of RMB FX Market[J].Studies of International Finance,2008(3). |
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| Authors: | Dai Guoqiang Li Liangsong |
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| Institution: | Dai Guoqiang Li Liangsong |
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| Abstract: | Weak efficiency of FX market is a hot topic internationally,because it is different from other markets efficiency. It directly relates to arbitrage,balance of payments,foreign exchange reserve,FX system,monetary policy and so on. But there are different opinions about its mathematical expression and econometric test method. In this paper,we use martingale difference hypothesis and Kuan and Lee's method to test weak efficiency of RMB FX market. Empirical test indicates that RMB/USD and RMB/HKD are not efficient FX markets; other FX markets of RMB are dubitable. There are some issues to be solved in the RMB FX forming system. |
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| Keywords: | RMB FX Efficient Market Hypothesis Martingale Difference |
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