Weak-Form Efficiency of the USD/CNY Exchange Rate Before, During, and After COVID-19

This study examines the weak-form efficiency of the nominal exchange rate between the Chinese yuan and the United States dollar across the periods before, during, and after the COVID-19 pandemic. Daily observations of the USD/CNY exchange rate from 2 January 2015 to 31 December 2025 were obtained from the Federal Reserve Economic Data database. Exchange rate efficiency was assessed using the runs test, the heteroskedasticity robust variance ratio test, and the Ljung Box Q test. The runs test failed to reject randomness for the full sample and all three subperiods. The variance ratio test also supported the random walk condition at most holding periods, although significant positive serial dependence was detected at the 20-day horizon for the full sample and the pre-COVID-19 period. The Ljung Box Q test showed no significant serial correlation before COVID 19, limited dependence during the pandemic, and significant serial correlation at all tested lags after COVID 19. These findings indicate that the USD/CNY exchange rate was predominantly consistent with weak-form efficiency before and during the pandemic, while the post-COVID-19 period produced mixed evidence. Historical exchange rate movements, therefore, contained limited and period-dependent predictive information rather than providing a stable basis for forecasting future movements. The findings highlight the importance of assessing foreign exchange market efficiency across different economic conditions and statistical horizons.

Chinese yuan, United States dollar, exchange rate, weak-form efficiency, random walk, COVID-19

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