中國外匯市場有效性的實證研究

1、分類號：F832 密級：公開UDC： 33 學(xué)校代碼：11605碩士學(xué)位論文中國外匯市場 中國外匯市場有效性 有效性的實證研究 的實證研究王春桂指 導(dǎo) 教 師 袁曉娜 副教授學(xué)科專業(yè)名稱 國際貿(mào)易學(xué)論文答辯日期 2017 年 6 月 7 日AbstractJanuary 1, 1994, the official exchange rate of RMB and foreign exchange swap priceofficially

2、 merged, China began to implement a managed floating exchange rate system.The People's Bank of China (PBOC) introduced major exchange rate reform measures onJuly 21, 2005 and August 11, 2015 respectively. The degree

3、of marketization of RMBexchange rate and the degree of effectiveness of foreign exchange market have beensignificantly improved. Effective market theory EMH (Efficient Markets Hypothesis) is aprerequisite for many theore

4、tical research in capital market. Only when the foreignexchange market is valid can we use the capital market theory with the premise of theeffective market hypothesis to study the exchange rate problem. At the same time

5、, theefficiency of the foreign exchange market itself will affect the choice of foreign exchangesystem and the formulation of relevant policies. The effectiveness test of the foreignexchange market is not only a theoreti

6、cal problem, but also an important reality thataffects the government's economic and financial decision-making,This paper systematically expounds the theory of effective market hypothesis, andbriefly introduces the d

7、evelopment process of China's foreign exchange market. In theframework of effective market hypothesis, this paper tests the effectiveness of USD, EURand JPY exchange rate market in China's foreign exchange market

8、. Based on thecomprehensive analysis of the development of China's foreign exchange market sinceJanuary 1, 1994, this paper focuses on the impact of the exchange rate system reform onthe effectiveness of China's

9、foreign exchange market on July 21, 2005 and on August 11,2015.This paper not only analyzes the fluctuation characteristics of exchange rate indifferent sample intervals, but also uses the ADF test, PP test and sequencea

10、utocorrelation test to verify the effectiveness of our foreign exchange market. The resultsshow that China's foreign exchange market is not full qualified the weak-form efficiencybefore the exchange reform between 19

11、94 and July 2005. After the exchange reform onJuly 21, 2005, China's foreign exchange market is qualified the weak-formefficiency ． After the exchange reform on August 11, 2015, China's foreign exchangemarket is

12、qualified the weak-form efficiency, and the effectiveness of the degreecompared to the previous stage to further improve.Based on the results of empirical research, this paper makes an objective evaluationon the effectiv