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The Empirical Study on the Effectiveness of China’s Foreign Exchange Market

Author: MaBiHong
Tutor: YuXueBin
School: Wuhan University of Science and Technology
Course: Business management
Keywords: the foreign exchange market Efficient Market Hypothesis Run Test Autocorrelation Test
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 207
Quote: 1
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Abstract


This thesis reviews the theory system of Market Efficiency Hypothesis, empirical testing of China’s foreign exchange market effectiveness,through the run testing and examination-related sequences from the two methods of analysis. On the basis of an analysis of the impact of China’s foreign exchange market effective level of the main factors. And from the angle of enhancing the effectiveness of China’s foreign exchange market.In accordance with the different sets of information, efficient market can be divided into weak-effective, semi-strong efficient and strong effective. Based on the analysis of domestic scholars has recalled some empirical research will focus on China’s foreign exchange market on the weak level of effective inspection,were chosen to test and run-length sequence from the relevant test, China’s foreign exchange market on the effectiveness of the weak The empirical testing. the test results are as follows: China’s foreign exchange market has not reached the validity of the weak,that is, the statistics do not support the full and effective weak assumptions. Since the test sequence related to the conclusion: The unit root test sequence to be a more stable, not subject to the same random walk of the characteristics of the exchange rate and yield-related test since that yield no relevance, that is, the exchange value of the original sequence is The relatively smooth, not to comply with random walk. China’s foreign exchange market, are not full qualified the weak-form efficiency.In the overall structure of this paper is divided into six parts. The first part is the introduction, the paper introduces the research purpose, and methods; The second part is about the efficient market theory and its application in the foreign exchange market. The third part introduces the foreign exchange market on China’s history and status quo. Fourth, some of the five-effective use of market theory and its testing method random-walk test to verify the effectiveness of China’s foreign exchange market, and then analyze the test results. This article of the sixth part is the conclusions and outlook, hampered by analyzing the effectiveness of China’s foreign exchange market factors, To explore ways to improve the effectiveness of China’s foreign exchange market.Based on all these tests, it is concluded that China’s foreign exchange market fails to achieve an effective level of the weak. In response to these positive results, this paper analyzes the various aspects reasons of China’s foreign exchang market efficiency which is not high enough, and suggest how to enhance the effectiveness of the exchang market.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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