English  |  正體中文  |  简体中文  |  Items with full text/Total items : 56431/90260 (63%)
Visitors : 11695531      Online Users : 44
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/66354


    Title: Price discovery in Taiwan’s foreign exchange market
    Authors: 萬哲鈺;高崇瑋
    Contributors: 淡江大學經濟學系
    Date: 2009-02-01
    Issue Date: 2011-10-22 17:35:38 (UTC+8)
    Abstract: This paper investigates the dynamics of price adjustments and the price discovery roles of two markets on Taiwan's foreign exchange, TFI and CFE. Results from the multivariate threshold model indicate prices are integrated nonlinearly. The roles of price discovery are asymmetric, depending on the size and sign of the price discrepancies between the two markets. In the lower regime of discrepancies, each market employs information from its counterpart and reacts to each other with different adjustment speeds. When the discrepancy is in the upper regime, CFE's role of price discovery is characterized by its exogenous behavior within the error-correction process.
    Relation: Journal of International Financial Markets, Institutions and Money 19, pp. 77-93
    DOI: 10.1016/j.intfin.2007.08.005
    Appears in Collections:[Graduate Institute & Department of Economics] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML10View/Open
    Price discovery in Taiwan’s foreign exchange market.pdf608KbAdobe PDF0View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback