How did China’s foreign exchange reform affect the efficiency of foreign exchange market?

Ye, Ning; Yi-ming, Wang; Su, Chi‐Wei

doi:10.1016/j.physa.2017.04.150

Cited by 29 publications

(9 citation statements)

References 15 publications

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“…en, Δα are calculated and presented in Table 4. From Table 4, it can be seen that ΔH(q) and Δα of the time series after the enactment of law are lower than those before Complexity the implementation of the law for all three cities, implying that the multifractality of the time series becomes more stable with the measures taken by the government and that the efficiency of the "haze special law" in three cities is demonstrable; this conclusion can be referred to [16,39], in which it was pointed out that the decrease in multifractality means the efficiency is improved when some measures are taken. Moreover, we also notice that the efficiency of the "haze special law" in Seoul is most obvious, when compared with Busan, and in last place is Daegu.…”

Section: Implications Of the "Haze Special Law"mentioning

confidence: 86%

“…We know that the MF-DFA model can unveil the multifractal properties hidden in nonstationary time series and that multifractality originates from temporal correlations [7,8]. erefore, the multifractal properties of stock markets [9][10][11][12][13], foreign exchange markets [14][15][16], bitcoin markets [17], atmospheric sciences [18], and phase transitions [19] have been studied previously. Recently, multifractal analysis was used to study the daily air temperature time series [20].…”

Section: Introductionmentioning

confidence: 99%

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Investigation of the Implications of “Haze Special Law” on Air Quality in South Korea

2020

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In this work, the air pollution index in three cities (Seoul, Busan, and Daegu) in South Korea was studied using multifractal detrended fluctuation analysis (MF-DFA). Hurst, Renyi, and Holder exponents were used to analyze the characteristics of the concentration time series of PM 2.5 and NO 2 . e results showed that multifractality exists in each season interval and the multifractal degree of PM 2.5 is stronger than that of NO 2 . To investigate the effects of the implementation of the "haze special law" on February 15, 2019, we analyzed the time series of PM 2.5 during the time periods . We found that the multifractal spectrum width after the implementation of the law was narrower than that before the law for all the cities, which shows that the enactment of the law has played a role in improving the efficiency of air pollution control in South Korea. We also conclude that the major effects of the law will be particularly visible in larger cities. To study the main causes of multifractality, the shuffled and phase-randomized series were analyzed using MF-DFA, and the results demonstrated that the fat-tailed distribution resulted in the multifractality of the time series before and after the implementation of the "haze special law" in Seoul and Daegu, whereas long-range correlation resulted in multifractality of the series before and after the implementation of the law in Busan.

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Section: Implications Of the "Haze Special Law"mentioning

confidence: 86%

Section: Introductionmentioning

confidence: 99%

Investigation of the Implications of “Haze Special Law” on Air Quality in South Korea

2020

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“…They report higher multifractality degrees in emerging stock markets compared with developed stock markets. The MF-DFA has been also employed to evaluate the informational efficiency of foreign exchange markets (Ning et al, 2017) and of energy markets, in particular for oil trading (Jiang et al, 2014;Khediri and Charfeddine, 2015). 5…”

Section: Two Measures Of Multifractality: Hurst Exponents and The Intermittency Coefficientmentioning

confidence: 99%

How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market

Gronwald

Sattarhof

2018

SSRN Journal

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This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the multifractal random walk model by Bacry et al. (2001b). While the random walk corresponds to the most genuine form of market efficiency, the larger the value of the intermittency coefficient is, the more inefficient a market would be. In contrast to commonly used methods based on Hurst exponents, the intermittency coefficient is a more powerful tool due to its well-established inference apparatus based on the generalised method of moments estimation technique. In an empirical application using data from the largest currently existing market for tradable pollution permits, the European Union Emissions Trading Scheme, we show that this market becomes more efficient over time. In addition, the degree of market efficiency is overall similar to that for the US stock market; for one sub-period, the market efficiency is found to be higher. While the first finding is anticipated, the second finding is noteworthy, as various observers expressed concerns with regard to the information efficiency of this newly established artificial market.

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“…Since then, China has completely eliminated the trading restrictions for foreign exchange to achieve full convertibility under current accounts. At this point, the official exchange rate and the market exchange rate of RMB are fully unified [8].…”

Section: S Doumentioning

confidence: 99%

Exchange Market Pressure in China: A Re-Examination Based on Girton-Roper Monetary Model

Xiangsheng¹

2017

TEL

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For China's inefficient foreign exchange market, as the foreign exchange market is difficult to clear in time, so the foreign exchange market pressure always exists. Therefore, the in-depth study and discussion of China's foreign exchange market pressure issue has important practical significance. This paper applies Lance Girton and Don Roper's monetary model of exchange market pressure to China's experience. The purpose of this paper is mainly to test whether the excess supply of money in China can be absorbed by some combination of the change in exchange rate and the change in foreign reserves. The results of empirical analysis indicate that the basic theoretical proposition is accordant with the practice.

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How did China’s foreign exchange reform affect the efficiency of foreign exchange market?

Cited by 29 publications

References 15 publications

Investigation of the Implications of “Haze Special Law” on Air Quality in South Korea

Investigation of the Implications of “Haze Special Law” on Air Quality in South Korea

How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market

Exchange Market Pressure in China: A Re-Examination Based on Girton-Roper Monetary Model

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