教師資料查詢 | 類別: 期刊論文 | 教師: 洪瑞成 HUNG,JUI-CHENG (瀏覽個人網頁)

標題:One Gold, Two Currencies: Price Discovery between Spot Exchange Rate and Implied Exchange Rate Derived from Futures
學年101
學期2
出版(發表)日期2013/03/01
作品名稱One Gold, Two Currencies: Price Discovery between Spot Exchange Rate and Implied Exchange Rate Derived from Futures
作品名稱(其他語言)
著者Chang, Matthew C.; Hung, Jui-Cheng; Chiu, Chien-Liang
單位淡江大學財務金融學系
出版者新北市淡江大學
著錄名稱、卷期、頁數International Journal of Information and Management Sciences 24(1), pp.23-38
摘要In this study, we investigate the relationship between spot and implied futures exchange rate between U.S. Dollar (USD) and New Taiwan Dollar (NTD). We are the first to discuss such relationship because only the characteristics of NTD Gold Futures (TGF) and USD Gold Futures (GDF) traded on the Taiwan Futures Exchange (TAIFEX) allow us to do so. Thus, we not only contribute on understanding of price discovery in financial markets, but also on market efficiency and market mechanism through the unique futures contracts on the TAIFEX. The unit root tests confirm that spot exchange rate and implied exchange rate are integrated of order 1, i.e., I(1). Furthermore, Johansen cointegration test, Granger causality test, and Vector Error Correction Model (VECM) show that spot exchange rate more influences implied exchange rate. We calculate the information shares (Hasbrouck [16]) for spot exchange rate and implied exchange rate, and the results show the information shares for spot exchange rate are higher than those for implied exchange rate. Moreover, the multivariate regression analysis demonstrates similar results. The implications of our empirical results indicate the importance of market makers in less mature markets.
關鍵字
語言英文
ISSN1017-1819
期刊性質國外
收錄於EI;
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,紙本
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