One Gold, Two Currencies: Price Discovery between Spot Exchange Rate and Implied Exchange Rate Derived from Futures
學年 101
學期 2
出版（發表）日期 2013-03-01
作品名稱 One Gold, Two Currencies: Price Discovery between Spot Exchange Rate and Implied Exchange Rate Derived from Futures
作品名稱（其他語言）
著者 Chang, Matthew C.; Hung, Jui-Cheng; Chiu, Chien-Liang
單位 淡江大學財務金融學系
出版者 新北市：淡江大學
著錄名稱、卷期、頁數 International Journal of Information and Management Sciences 24(1), pp.23-38
摘要 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.
關鍵字
語言 en
ISSN 1017-1819
期刊性質 國外
收錄於 EI
產學合作
通訊作者
審稿制度 否
國別 TWN
公開徵稿
出版型式 ,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92515 )

機構典藏連結
SDGS 優質教育