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亞洲無本金遠期匯率市場蔓延效果之研究 / Contagion Effects of Non-Deliverable Forwards in Asian Currencies

The impact of own-country and cross-border events on asset markets is an important subject. We examine the co-movement of conditional volatilities in Korean won, Chinese yuan and Taiwanese dollar NDF markets. Using a multivariate GARCH model, we test whether the announcement of Chinese yuan’s appreciation on 21st July, 2005 affects the co-movements of Asian NDF rates. Our findings show Japanese yen spot rate has influences on three Asian NDF markets. Furthermore the most liquid Korean NDF rate also affects Chinese yuan and Taiwanese NDF markets. Our results are consistent with the findings that Asian NDF markets also show strong co-movements, especially after the announcement date of Chinese yuan’s appreciation on 21st July, 2005.

Identiferoai:union.ndltd.org:CHENGCHI/G0093357022
Creators蕭旨芳, Hsiao,Chih-Fang
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language英文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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