外匯市場效率性檢定—以台灣為例
Date Issued
2005
Date
2005
Author(s)
杜凰儀
DOI
zh-TW
Abstract
This paper tried to figure out whether the foreign exchange market in Taiwan is efficient or not after the market reopened in December, 1991. Thus, we examine panel of forward premium series including 10, 30, 60, 90 and 180 days forward contract maturities.
The contradictory findings in the literature may reflect the well-known limited power of conventional unit root tests against stationary alternatives in small samples. Therefore, in addition to the conventional univariate regression used to test the weak-form efficiency hypothesis in the foreign exchange market, we applied the panel unit root test to forward exchange premiums by utilizing cross-sectional information from their term structure.
There are unit root tests, Johansen cointegration tests, vector error correction models, Granger causality tests and impulse responses used to find out the existence of the long run and short run stability relationships in these variables. Our finding implicate that forward exchange premiums are non-stationary and given that the forward premium reflects the stochastic structure of the currency risk premium, our finding shows non-stationary behavior for the risk premia of NT dollar (relative to the US dollar), and thus cannot support the weak-form foreign exchange market efficiency under risk aversion.
Subjects
遠期溢酬
單根檢定
共整合
向量誤差修正模型
forward premium
unit root test
cointegration
VECM
Type
thesis
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