With the liberalization of financial market,
the prevalence of international trade and the prosperity of
foreign exchange markets ,investors could hedge,speculate or
interest arbitrage in markets. Therefore, market efficiency is
worthy of investigation and analysis on the international finance
extensively. According to simple market efficiency hypothesis,
there would be a long-run relationship between spot exchange rate
and forward exchange rate if the foreign exchange market is
efficient. Under the circumstance, this study firstly tries to
examine whether there is a long-run relationship or not between
spot exchange rate and forward exchange rate by Linear
Cointegration Theory. At the same time, the study tests Simple
Market Efficiency Hypothesis is correct or not in practice.
Next,in a non-linear threshold cointegrational way, it looks into
whether there is an apparent threshold effect or not among
variables, and the adjusting behavior in the long-run equilibrium
process. The result of the study proves that there are an
apparent threshold effect and inconsistent behaviors in the
long-run equilibrium process.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0627107-175401 |
| Date | 27 June 2007 |
| Creators | Huang, Yi-Hsuan |
| Contributors | Ming-Jang WENG, Chingnun Lee, Ping-Cheng Li |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0627107-175401 |
| Rights | not_available, Copyright information available at source archive |
Page generated in 0.0022 seconds