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China-Russia Ruble-RMB currency swap agreement may have long-run and short-run exchange risks for China. This paper mainly aims to investigate the informational efficiency of Ruble-RMB foreign exchange market. Methods used include the ADF and PP tests, the Perron test, the Johansen trace and Engle-Granger tests, vector autoregressive model and Granger causality test. Cointegration does not exist between the exchange rates of Ruble, dollar, euro, yen and pound to RMB, suggesting long-run informationally efficient. We constructed a first-differenced VAR for these exchange rates. We find a unidirectional Granger causality from euro-RMB exchange rate to Ruble-RMB exchange rate, suggesting short-run informationally inefficient. Hence, the Ruble-RMB foreign exchange market violates the efficient market hypothesis (EMH) and the Ruble-RMB currency swaps may not receive diversification benefits in the short run. KEYWORD: Cointegration; exchange rate; efficient market hypothesis; Granger causality; structural break; vector autoregressive model International Conference on Social Science, Education Management and Sports Education (SSEMSE 2015) © 2015. The authors Published by Atlantis Press 1327 Exchange rates comprise those of Ruble to RMB (RUB) and US dollar to RMB (DOLLAR). They also include those of the euro to RMB (EURO), Japanese yen to RMB (YEN), and pound to RMB (POUND). Excluding weekends and holidays, data has 963 daily observations from 4 January 2011 to December 24, 2014 (China Foreign Exchange 2014). Table 1. Statistics for the exchange rate of one hundred foreign currency to RMB. Variable DOLLAR EURO YEN POUND RUB Mean 627.80 837.99 7.05 1004.89 19.55 Median 628.60 829.65 7.41 1002.85 19.84 Maximum 663.49 964.45 8.37 1085.18 23.77 Minimum 609.30 748.48 5.05 915.62 8.82 Standard Deviation 13.45 45.00 1.01 34.74 2.44 Skewness 0.72 0.80 (0.17) (0.02) (0.98) Kurtosis 2.70 3.14 1.38 2.37 5.02 Jarque-Bera 85.75 102.56 109.63 16.03 318.42 p-value 0.00 0.00 0.00 0.00 0.00

Market Efficiency of Ruble-RMB Exchange Rates: Long-run Equilibrium, VAR Estimates and Granger Causality Tests