English  |  正體中文  |  简体中文  |  Items with full text/Total items : 52052/87180 (60%)
Visitors : 8891138      Online Users : 318
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/987654321/92515

    Title: One Gold, Two Currencies: Price Discovery between Spot Exchange Rate and Implied Exchange Rate Derived from Futures
    Authors: Chang, Matthew C.;Hung, Jui-Cheng;Chiu, Chien-Liang
    Contributors: 淡江大學財務金融學系
    Keywords: mplied exchange rate;microstructure;price discovery;spot exchange rate;Taiwan Futures Exchange
    Date: 2013-03-01
    Issue Date: 2013-10-17 10:29:44 (UTC+8)
    Publisher: 新北市:淡江大學
    Abstract: 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.
    Relation: International Journal of Information and Management Sciences 24(1), pp.23-38
    DOI: 10.6186/IJIMS.2013.24.1.2
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat

    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