亚太地区四个外汇市场有效性的实证研究

Efficiency Evaluation in Four Selected Asia-Pacific Foreign Exchange Markets

外汇市场的有效性是一个影响政府经济和金融决策,市场参与者交易的重要现实问题。本文以亚太地区香港、澳大利亚、日本、新加坡四个外汇市场作为研究对象,采用Ng and Perron(2001)单位根检验和向量误差修正模型(VECM)从不同角度对外汇市场效率问题进行研究,结果表明四个外汇市场均具有弱有效市场的重要特征。

This paper empirically verifies the efficiency hypothesis for four selected Asia-Pacific foreign exchange markets, namely Hong Kong, Australia, Japan, and Singapore. The efficiency of these markets is evaluated using Unit Root test proposed by Ng and Perron （2001） and Vector Error Correction Model. Unit root component is identified for all four foreign exchange markets and the empirical results of VECM further confirm that exchange rates within these markets are not predictable, and thus support the market efficiency hypothesis.