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


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
JEL Classification: F31, F37

Hideki IZAWA
Research Institute for Economics and Business Administration
Kobe University
Rokkodai-cho, Nada-ku, Kobe
657-8501 Japan
Phone: (81) 78 803 7036
Fax: (81) 78 803 7059