摘要
以2005年7月21日～2008年3月12日银行间外汇市场六种货币兑人民币汇率数据为样本，采用R／S分析法对其日收益率序列进行了研究，结果表明：六种货币兑人民币汇率日收益率序列均不服从正态分布，普遍地表现为有偏的随机过程；六种货币兑人民币汇率均具有非线性特征，表现为较强的正状态持久性，其波动存在明显的非周期循环。
Based on the inter- bank daily data （from 2005/07/21 to 2008/03/12） of six foreign exchanges, this paper concludes that the six foreign exchange rates all have nonlinear characteristics and positive auto - oorrelativity, the distribution of these foreign exchange rates are not normal, so the classical efficient market hypothesis of the foreign exchange market is doubtful here. There is alsono evidence to support the existence of exact volatility periodicity, however, there is obvious circulation of these series. At last, this paper puts forward some suggestions on the foreign exchange market management and makes some policy recommendation.
出处
《山西财经大学学报》
CSSCI
2008年第10期107-111,共5页
Journal of Shanxi University of Finance and Economics
基金
国家自然科学基金"人民币外汇衍生产品发展总体规划和策略"(70741017)
上海财经大学现代金融研究中心2007年度课题"人民币外汇衍生品的市场发展策略及风险管理"
关键词
人民币汇率
非线性特征
非周期循环
R/S分析法
RMB Exchange Rate
nonlinear characteristics
nonperiodic circulation
R/S method
