Research On The Information Spillover Effects Of Spot Market And Forward Market Of RMB In China And Hong Kong

As the major trading area of RMB exchange rate in China and Hong Kong,the mechanism of information transmission among all the markets has always been one of the important information that the foreign exchange regulatory authority and the foreign exchange investors of China are most concerned about.After the exchange rate reform of August 11,2015,the exchange rate of RMB against the USD dropped sharply.After another round of exchange rate reform,for the spot exchange rate of RMB in China,the long-time exchange rate of RMB in China,the spot exchange rate of offshore RMB in Hong Kong,the long-time exchange rate of RMB in Hong Kong and the exchange rate of offshore RMB in Taiwan,whether there is any impact on the information guiding function between the non-deliverable markets.At present,the role of market forces in information transmission is stronger or weaker.And over more than two years,whether exchange rate reform has strengthened the role of the domestic market in information overflow,which has become a very concerned problem for the investor and supervisor of the foreign exchange market.While the article summarizes the conclusion of previous scholars,based on the market information transmission mechanism explained by the theory of cross-market arbitrage,the theory of interest rate parity and the market expectancy,using the tests of stationarity,autocorrelation and ARCH,the Granger causality test based on VAR model and the multivariate GARCH model of dynamic condition,we analyze the sample data of the four contracts which are relatively active on the market at present.From the two dimensions of return spillover effect and volatility spillover effect,we discussed the relationship between the five RMB exchange rates in China and Hong Kong,the information transmission between forward markets.The study finds that in terms of return spillovers,domestic long-term market have the strongest effect of information transmission among the five markets.In terms of volatility spillovers,the two domestic markets are far less durable in risk spillover than the three offshore markets in Hong Kong.Forward market information transmission against the spot market is more obvious.It shows that while the exchange reform has achieved initial success in improving the information transmission capacity in the domestic long-term market,due to the institutional constraints of the domestic market,it still needs to further deepen reform so as to compete with the offshore long-term market in Hong Kong,and eventually,dominating the information transmission in the foreign exchange market around China.Finally,based on the analysis and discussion of the empirical results,combined with Chinese current actual conditions,the article gives some relevant policy suggestions in the development of the domestic foreign exchange market and Hong Kong offshore forward market.