An Empirical Study Of The Effectiveness Of China's Foreign Exchange Market

January 1,1994,the official exchange rate of RMB and foreign exchange swap price officially merged,China began to implement a managed floating exchange rate system.The People's Bank of China(PBOC)introduced major exchange rate reform measures on July 21,2005 and August 11,2015 respectively.The degree of marketization of RMB exchange rate and the degree of effectiveness of foreign exchange market have been significantly improved.Effective market theory EMH(Efficient Markets Hypothesis)is a prerequisite for many theoretical research in capital market.Only when the foreign exchange market is valid can we use the capital market theory with the premise of the effective market hypothesis to study the exchange rate problem.At the same time,the efficiency of the foreign exchange market itself will affect the choice of foreign exchange system and the formulation of relevant policies.The effectiveness test of the foreign exchange market is not only a theoretical problem,but also an important reality that affects the government's economic and financial decision-making,This paper systematically expounds the theory of effective market hypothesis,and briefly introduces the development process of China's foreign exchange market.In the framework of effective market hypothesis,this paper tests the effectiveness of USD,EUR and JPY exchange rate market in China's foreign exchange market.Based on the comprehensive analysis of the development of China's foreign exchange market since January 1,1994,this paper focuses on the impact of the exchange rate system reform on the effectiveness of China's foreign exchange market on July 21,2005 and on August 11,2015.This paper not only analyzes the fluctuation characteristics of exchange rate in different sample intervals,but also uses the ADF test,PP test and sequence autocorrelation test to verify the effectiveness of our foreign exchange market.The results show that China's foreign exchange market is not full qualified the weak-form efficiency before the exchange reform between 1994 and July 2005.After the exchange reform on July 21,2005,China's foreign exchange market is qualified the weak-form efficiency.After the exchange reform on August 11,2015,China's foreign exchange market is qualified the weak-form efficiency,and the effectiveness of the degree compared to the previous stage to further improve.Based on the results of empirical research,this paper makes an objective evaluation on the effectiveness of China's foreign exchange market and the effect of exchange ratesystem reform policy,and puts forward some countermeasures and suggestions to improve the construction of China's foreign exchange market and improve the market efficiency.