Empirical Research on the Fractal Characteristics of RMB Exchange Rate——Based on R/S Analysis Method

LIU Zhi-wei; ZHAO Yong-qin

Volume 27 Issue 2

Jun. 2021

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Article Navigation > Journal of University of Science and Technology Beijing ( Social Sciences Edition) > 2011 > 27(2): 66-70

LIU Zhi-wei, ZHAO Yong-qin. Empirical Research on the Fractal Characteristics of RMB Exchange Rate——Based on R/S Analysis Method[J]. Journal of University of Science and Technology Beijing ( Social Sciences Edition), 2011, 27(2): 66-70.

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LIU Zhi-wei, ZHAO Yong-qin. Empirical Research on the Fractal Characteristics of RMB Exchange Rate——Based on R/S Analysis Method[J]. Journal of University of Science and Technology Beijing ( Social Sciences Edition), 2011, 27(2): 66-70.

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Empirical Research on the Fractal Characteristics of RMB Exchange Rate——Based on R/S Analysis Method

School of Economics and Management University of Science and Technology Beijing, Beijing 100083, China

Received Date: 2011-02-25
Available Online: 2021-06-24

Abstract

Abstract

Based on the central parity of RMB/USD, RMB/EUR and RMB/JPY from July 21, 2005 to October 29, 2010, R/S analysis is applied to the study of the daily return series.The conclusion indicates that the three exchange rates do not follow the Efficient Market Hypothesis, and they have clear fractal structures and different length of cycle.
- fractal theory,
- R/S analysis,
- Hurst index,
- RMB exchange rate

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