跳到主要內容

臺灣博碩士論文加值系統

(44.192.20.240) 您好!臺灣時間:2024/02/23 23:53
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:魏伶芝
研究生(外文):Ling-chih Wei
論文名稱:台北與元太外匯市場之訊息傳遞和價格互動
指導教授:萬哲鈺萬哲鈺引用關係
學位類別:碩士
校院名稱:東吳大學
系所名稱:國際經營與貿易學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:53
中文關鍵詞:匯率弱外生性價格發現不對稱效果
外文關鍵詞:the exchange ratesweakly exogenousprice discoveryasymmetric effect
相關次數:
  • 被引用被引用:2
  • 點閱點閱:546
  • 評分評分:
  • 下載下載:45
  • 收藏至我的研究室書目清單書目收藏:0
  本文依序採用Gonzalo and Granger恆常-暫時模型、Hasbrouck訊息比例模型、KPSW模型、EGARCH模型,來探討台北外匯市場與元太外匯市場之間價格發現與訊息傳遞的情形。實證結果顯示,台北外匯市場與元太外匯市場之匯率具有一長期共整合關係。Gonzalo and Granger模型指出元太外匯市場具有弱外生性,共同因子大部分由元太外匯市場所解釋,元太外匯市場包含較多的訊息,其次是台北外匯市場。元太外匯市場在價格發現的過程中,佔有主要的領導地位。利用KPSW模型可知元太外匯市場的反應速度高於台北外匯市場。EGARCH模型顯示台北外匯市場與元太外匯市場的訊息傳遞是雙向性的,而元太外匯市場發生價格變化對台北外匯市場的影響,大於台北外匯市場發生價格變化對元太外匯市場的影響。此結果與Gonzalo and Granger模型的結果一致。此外,台灣匯率不具有不對稱性的。以上實證結果說明,元太外匯市場對價格發現過程貢獻較大,台北外匯市場貢獻較小。元太外匯市場具有價格領導的功能,該市場反應訊息的能力較快。
This paper examines the dynamics of informational transmission and price discovery roles between two markets on Taiwan’s foreign exchange, TFI (Taipei Forex Inc) and CFE (Cosmos Foreign Exchange International Co), using Gonzalo and Granger model、Hasbrouck information share model、KPSW model and EGARCH model. The exchange rates from the two markets are integrated with a single common stochastic trend. Gonzalo and Granger model indicates that CFE’s role of price discovery is characterized by its weakly exogenous. The common factor is driven by CFE. CFE contains the most information, followed by TFI. CFE is the main driving force in the price discovery process. The KPSW model of VDC shows that CFE can be described as the dominant source of information flow or common stochastic trend. CFE responds to the shock generated from the common factor rapidly. The results of EGARCH model suggest a bi-directional volatility spillover between TFI and CFE with a stronger effect from CFE to TFI. These results are consistent with those of the Gonzalo and Granger model. Moreover, asymmetric effects are not significant in Taiwan foreign exchange markets. In conclusion, the overall results show that CFE contributes the most to the price discovery process, followed by the TFI. CFE facilitates price discovery more efficiently than TFI.
目 錄

表目錄 I
圖目錄 II
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究模型 3
第三節 研究架構 4
第二章 文獻回顧 5
第一節 外匯市場匯率變化行為分析的相關文獻 5
第二節 股票價格互動與變化的相關文獻 8
第三節 利率市場訊息傳遞的相關文獻 11
第四節 能源市場價格發現議題的相關文獻 12
第五節 實證方法的相關文獻 13
第六節 小結 19
第三章 研究方法 21
第一節 誤差修正模型 21
第二節 Gonzalo & Granger 恆常暫時模型 22
第三節 Hasbrouck訊息比例模型 23
第四節 KPSW模型 26
第五節 EGARCH模型 28
第四章 實證分析 31
第一節 變數資料來源與定義 31
第二節 單根與共整檢定 33
第三節 誤差修正模型、因果檢定、恆常-暫時模型 35
第四節 Hasbrouck訊息比例模型 38
第五節 變異數分解 39
第六節 波動外溢與不對稱效果 41
第七節 小結 41
第八節 實證結果與相關文獻比較 43
第五章 結論 46
第一節 研究結論 46
參考文獻 48
周雨田、李志宏、巫春洲 (2002),「台灣期貨對現貨市場的資訊傳遞效果分析」,
《財務金融學刊》,10(2),1-22。
張元晨 (2005),「銀行間新台幣兌美元外匯交易流動性與交易成本的分析:台北
與外匯經紀公司的比較」,《行政院國家科學委員會補助專題研究計畫成果報
告》,台北:國立政治大學財務管理系。
楊踐為、胥愛琦、吳清豐 (2005),「亞洲金融危機前後匯率波動不對稱現象之比
較與政策意涵」,《台灣管理學刊》,5(2),187-208。
蔡垂君、李存修 (2004),「近月台股期貨在交易、非交易、以及跨越交易與非交
  易期間之訊息傳遞實證-價格發現與價格波動率內涵」,《財務金融學刊》,
  12(1),53-86。
Aggarwal, R. and W. Simmons (2006), “Economic integration among Caribbean
countries: evidence from purchasing power parity, 1980-2000,” Journal of Policy
Modeling, 28, 277-280.
Aggarwal, R. and W. Simmons (2008), “Common stochastic trend among Caribbean
currencies evidence from Guyana, Jamaica, and Trinidad and Tobago,” Journal
of Economics and Business, 60, 277-289.
Baillie, R. T., G. G. Booth, Y. Tse, and T. Zabotina (2002), “Price discovery and
common factor models,” Journal of Financial Markets, 5, 309-321.
Black, F. (1976), ”Studies of stock market volatility changes,” Proceedings of the
American Statistical Associations, Business and Economics Studies Section,
177-181.
Bollerslev, T. (1986), “Generalized autoregressive conditional heteroskedasticity,”
Journal of Econometrics, 31, 307-327.
Bollerslev, T. (1990), “Modelling the coherence in short-run nominal exchange rates:
A multivariate generalized ARCH model,” Review of Economics and Statistics,
72, 498-505.
Christie, A. A. (1982), “The stochastic behavior of common stock variances: value,
leverage and interest rate effects,” Journal of Financial Economics, 10, 407-432.
Chu, Q. C., W. G. Heish and Y. Tse (1999), “Price discovery on the S&P500 index
markets: an analysis of spot index, index futures, and SPDRs,” International and
Review of Financial Analysis, 8, 21-34.
Ding D. K., F. H. deB. Harris, S. T. Lau, and T. H. McInish (1999), “An investigation
  of price discovery in informationally-linked markets: equity trading in Malaysia   
  and Singapore,” Journal of Multinational Financial Management, 9, 317-329.
Engle, R. F. (1982), “Autoregreesive conditional heteroskedasticity with estimates of
the variance of U.K. inflation,” Econometrica, 50, 987-1008.
Engle, R. F. and V. K. Ng (1993), “Measuring and testing the impact of news on
volatility,” Journal of Finance, 48, 1749-1778.
Engle, R. F. and C. W. J. Granger (1987), “Co-integration and error corrextion:
representation, estimation, and testing,” Econometrica, 55, 251-276.
Engle, R. F., T. Ito, and W. L. Lin (1990), “Meteor showers or heat waves?
Heteroskedastic intra-daily volatility in the foreign exchange market,”
Econometrica, 58, 525-542.
Eun, C. S. and S. Sabherwal (2003), “Cross-border listing and price discovery:
evidence from U.S.-listed Canadian stocks,” Journal of Finance, 58, 549-574.
Fleming, J., B. Ostdiek, and R. E. Whaley (1996), “Trading costs and the relative rates
of price discovery in stocks, futures, and option markets,” Journal of Futures
Markets, 16, 353-387.
Fung, J. K. W., D. Lien , Y. Tse, and Y. K. Tse (2005), “Effects of electronic trading on
the Hang Seng index futures market,” Journal of Corporate Finance, 10(3),
459-465.
Garbade, K. D. and W. L. Silber (1979), “Dominant and satellite markets: a study of
dually traded securities,” Review of Economics and Statistics, 61, 455-460.
Gonzalo, J. and C. W. J. Granger (1995), “Estimation of common long-memory
components in cointegrated systems,” Journal of Business and Economic
Statistics, 13(1), 27–35.
Grammig, J., M. Melvin, C. Schlag (2005), “Internationally cross-listed stock prices
during overlapping trading hours: price discovery and exchange rate effects,”
Journal of Empirical Finance, 12, 139-164.
Granger, C. and P. Newbold (1974), “Spurious regression in econometrics,” Journal
of Econometrics, 2, 111-120.
Grossman, S. J. (1989), The information role of price, Cambridge: The MIT Press.
Harris, F. H. deB., T. H. Mclnish, G. Shoesmith, and R. A. Wood (1995),
“Cointegration, error correction, and price discovery on informationally linked
security markets,” Journal of Financial and Quantitative Analysis, 30(4),
563–579.
Harris, F. H. deB., Mclnish, T. H., Wood, R. A. (2002), “Common factor components
versus information shares: a reply,” Journal of Financial Markets , 5(3),
341-348.
Hasbrouck, J. (1995), “One security, many markets: Determining the contributions to
price discovery,” Journal of Finance, 50(4), 1175–1199.
Hu, M. Y., C. X. Jiang and C. Tsoukalas (1997), ”The European exchange rates before
and after the establishment of the European monetary system,” Journal of
International Financial Markets, Institutions and Money, 7, 235-253.
Johansen, S. (1988), “Statistical analysis of co-integration vectors,” Journal of
Economic Dynamics and Control, 12, 231–254.
Kadapakkam P. P., L. Misra, and Y.Tse (2003), “International price discovery for
emerging market stocks: evidence from Indian GDRs,” Review of Quantitative
Finance and Accounting, 21, 179-199.
Kao, C. W. and J. Y. Wan (2009), “Information transmission and market interactions
across the Atlantic - an empirical study on the natural gas market,” Energy
Economics, 31, 152-161.
King, R. G., C. I. Plosser, J. H. Stock, and M. W. Watson (1991), “Stochastic trends
and economic fluctuations,” American Economic Review, 81, 819-840.
Kroner, K. F. and V. K. Ng (1998), “Modeling asymmetric comovements of asset
returns,” Review of Financial Studies, 11, 817-844.
Laopodis, N. T. (1997), ”U.S. dollar asymmetry and exchange rate volatility,” Journal
of Applied Business Research, 13, 1-8.
Lieberman, O., u. Ben-Zion, and S. Hauser (1999), “A characterization of the price
behavior of international dual stocks: an error correction approach,” Journal of
International Money and Finance, 18, 289-304.
Lim, L. K. (2008), “A cointegration analysis of price transmission between ADRs and
dually listed South Korean stocks,” Mathematics and Computers in Simulation,
78(2-3), 1161-1176.
Lo, A. and C. MacKinlay (1987), “An econometric analysis of nonsynchronous
trading,” Journal of Econometrica, 55, 181-211.
Mills, T. C. (1999), “The Econometric Modeling of Financial Time Series,”
Cambridge, U.K.New York : Cambridge University Press
Nelson, D. B. (1990), “Arch models as diffusion approximations,” Journal of
econometrics, 45, 7-38.
Nelson, D. B. (1991), “Conditional heteroskedasticity in asset returns: a new
approach”, Econometria, 59, 347-370
Park, J. (2001), “Information flows between non-deliverable forward (NDF) and spot
markets: evidence from Lorean currency,” Pacific-Basin Finance Journal, 9,
363-377.
Pascual, R., B. Pascual-Fuster, and F. J. Climent (2006), “Cross-listing, price
discovery and informativeness of the trading process,” Journal of Financial
Markets, 9(2), 144-161.
Ross, S. A. (1989), ”Information and volatility:the no-arbitrage martingale approach
to timing and resolution irrelevancy,” Journal of Finance, 44, 1-17.
So, R. W. and Y. Tse (2004), “Price discovery in the Hang Seng index markets: index,
futures, and the tracker fund,” Journal of Futures Markets, 24(9), 887-907.
Sapp, S. G. (2002), “Price leadership in the spot foreign exchange market,” Journal of
Financial and Quantitative Analysis, 37(3), 425-448.
Schwert, W. G. (1990), “Stock volatility and the crash of’87,” The Review of
Financial Studies, 3, 77-102.
Sentana, E. and S. Wadhwani (1992), “Feedback traders and stock return
autocorrelations: evidence from a century of daily data,” Economic Journal, 102,
415-425.
Sims, C. A. (1980), “Macroeconomics and reality,” Econometrica, 48, 1-48.
Stock, J. H. and M. W. Watson (1988), “Testing for common trends,” Journal of the
American Statistical Association, 83, 1097-1107.
Su, Q. and T. T. L. Chong (2007), “Determining the contributions to price discovery
for Chinese cross-listed stocks,” Pacific-Basin Finance Journal, 15(2), 140-153.
Tse, Y. (1998), “International linkages in Euromark futures markets: Information
transmission and market integration,” Journal of Futures Markets, 18(2),
129-149.
Tse, Y. (1999), “Price discovery and volatility spillovers in the DJIA index and futures
Markets,” Journal of Futures Markets, 19, 911-930.
Tse, Y. K. and A. K. C. Tsui (1997), “Conditional volatility in foreign exchange rates:
evidence from the Malaysian ringgit and Singapore dollar,” Pacific-Basin
Finance Journal, 5(3), 345-356.
Tse, Y. and P. Bandyopadhyay (2006), “Multi-market trading in the Eurodollar futures
market,” Review of Quantitative Finance and Accounting, 26, 324-341.
Tse, Y. and J. Xiang (2005), “Market quality and price discovery: Introduction of the
E-mini energy futures,” Global Finance Journal, 16(2), 164-179.
Tse, Y., T. H. Lee, and G. G. Booth (1996), “The international transmission of
information in Eurodollar futures markets: a continuously trading market
hypothesis,” Journal of International Money and Finance, 15(3), 447-465.
Tse, Y., J. Xiang, and J. K. W. Fung (2006), “ Price discovery in the foreign exchange
futures market,” Journal if Futures Markets, 26(11), 1131-1143.
Wang, J. and M. Yang (2008), “Asymmetric volatility in the foreign exchange
Markets,” Journal of International Financial Markets, Institutions & Money
Wan, J.Y. and C.W. Kao (2009), “Price discovery in Taiwan’s foreign exchange
market,” Journal of International Financial Markets, Institutions and Money, 19,
77-93.
Yoon, S., and S.K. Lee (2008), “The volatility and asymmetry of Won/Dollar
exchange rate,” Journal of Social Science. 4(1), 7-9.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊