淡江大學機構典藏:Item 987654321/66354
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    题名: Price discovery in Taiwan’s foreign exchange market
    作者: 萬哲鈺;高崇瑋
    贡献者: 淡江大學經濟學系
    日期: 2009-02-01
    上传时间: 2011-10-22 17:35:38 (UTC+8)
    摘要: 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.
    關聯: Journal of International Financial Markets, Institutions and Money 19, pp. 77-93
    DOI: 10.1016/j.intfin.2007.08.005
    显示于类别:[經濟學系暨研究所] 期刊論文

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