我国外汇市场动量效应的实证研究——基于改进的MA交易规则

本文构建了改进的MA交易规则,运用13600种策略对我国外汇市场上的动量效应进行了实证检验,发现存在着显著的动量超额收益,证明“有效市场”理论在中国外汇市场上并不成立。同时,这种超额收益也受到了人民币汇率形成机制改革的显著影响,机制改革后随着汇率弹性的增加和市场供求关系的逐渐体现,动量效应有所减弱,市场逐渐向“理性”发展。

Positive Study on the Momentum Effect in China's Foreign Exchange Market——From the Point of Improved MA Trading Rules

This paper uses the trading rules of improved moving average(MA)to test the momentum effect in China’s foreign exchange market, and finds that there are significant momentum excess returns which proved the invalidity of effective market hypothesis. Importantly, the reform of the RMB exchange rate formation mechanism has a significant impaction on momentum effect, which the profit is lower after reform, because of the increasing of RMB exchange rate elasticity and the reflecting of market supply and demand relationship little by little after reform, and the market gradually inclines to rational regress.