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|Title: ||Three essays on innovation, intervention, and market efficiency|
|Other Titles: ||創新、調節及市場效率的論文三篇|
|Authors: ||王友珊;Wang, Yu-shan|
聶建中;Nieh, Chien-chung;鍾惠民;Chung, Huimin
|Issue Date: ||2010-01-11 01:08:17 (UTC+8)|
Major changes in the global financial market began in the early 1980s. The lifting of restrictions on interest rates and exchange rates strengthened the interconnectedness of cross-markets. The rapid development of information and communication technologies accelerated changes in the financial markets. Following the renewal of financial markets, a variety of new financial derivative products was generated, causing successive adjustments in the structures financial systems. In addition, international finance was subjected to unrelenting assaults, with exchange rates, interest rates, stock prices and index futures not only changing daily, but fluctuating by the minute and even by the second. In view of this, the aim of this paper is to discuss the impact of policy and system reform on financial markets.
Our data processing capabilities have increased greatly along with the ever-changing financial dynamics and the vigorous development of the financial markets. If we wish to understand the financial dynamics at each point in time and analyze the causes of changes in financial conditions, there is an urgent need for econometric techniques that can instantly process large volumes of data. If we can conduct suitable econometric analyses on financial markets data, that would be important indeed. The field of financial econometrics developed rapidly at the end of the 20th century, and it goes without saying that we can benefit from the broad range of applications of financial econometric models, which can be helpful in evaluating investment strategies, asset allocation and risk management, and can also be adjusted according to users’ needs. Financial econometrics is built upon a hypothetical basis, and making use of econometric methods and conducting research into phenomena such as the course of development of financial systems and tools can provide deep insight into numerous financial areas. For this reason, this paper applies modern financial econometrics separately to different financial markets. In financial theory and empirical studies, there is a growing number of applied econometric analysis techniques. The overall value of this paper is in the ability to quickly and accurately apply these new econometric models (including ARDL model, intertemporal regression model and information share model) to analyze financial data, unearthing the effects that these change factors have on financial phenomena through empirical studies, thereby fleshing out new research findings and developments in the field of exchange rate and index futures, and substantiating a financial theory system. To sum up, this paper combines financial theory and econometrics, illustrating concepts through real-life economic and financial examples, introducing relevant documentation and financial theories on foreign exchange and futures markets in clear, concrete steps, and introducing different econometric models that can be applied to the field of finance.
This dissertation consists of three essays: In the first part, we apply the ARDL methods in foreign exchange markets, enabling the reader to understand the characteristics of the irrational behavior of Taiwan''s foreign exchange market through examples of the overreaction of NT dollar exchange rates to increases in money supply. Research has found that bubble speculative phenomena regarding excessive fluctuation in short-term exchange rates in Taiwan''s foreign exchange market do not easily occur. In the second part, we add dummy variables into intertemporal regression models to explore the effects of market changes on Taiwan’s futures market. The results of empirical studies support the hypothesis that lowering the futures transaction tax will increase market efficiency, and we found that the intervention of the National Stabilization Fund in the market leads to a dampening of market efficiency, and only by reducing unnecessary government intervention can the market pricing mechanism be fully utilized. In the third part: after the introduction of electronically traded and small-sized (E-mini) index futures there was a lack of research into the correlation of price dynamics between Russell 2000 futures and E-mini Russell 2000. This paper explores the information transmission processes of open outcry for Russell 2000 futures and E-mini Russell 2000 through information share model. We found that E-mini Russell 2000 index futures contracts possess the ability to guide price discovery in financial markets, showing that E-trading systems have a superiority in information efficiency and operational efficiency, which will help us understand the characteristics of open outcry trading and E-trading, and can serve as a reference for investing in Russell index futures. In sum, we provide useful evidence for trading mechanism (open outcry trading vs. E-trading) and contract design (regular futures vs. mini futures). To investors, it provides a reference beneficial for investing in Russell 2000 index futures. As for the world''s exchanges, this paper''s examples can help financial management authorities make adjustments in trading mechanism and contract specification design, which will certainly be advantageous in attaining the goal of robust market development.
|Appears in Collections:||[Graduate Institute & Department of Banking and Finance] Thesis|
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