Efficient market exist such that financial market make the absence of arbitrage opportunity on intertemporal asset price, There are special existence due to volatility clustering effect provides that the conditional volatility predictor could control, applying on derivative such as option¡Bcurrency exchange¡Bswap¡Bexist possible arbitrage profits ,in this paper involve that forward market efficiency and how to prototype concrete, now we apply parity theory including covered interest parity and uncovered interest parity, then the study of both covered (CIP)and uncovered interest parity (UIP) plus FME are tested in the 30 and 90 forward markets for the NTD/USD exchange rate to examine market efficiency on using GARCH-M,EGARCH models , In the empirical tests, we find the NTS/USD dollar interest rate spread have I(o) property ,Results are provided for interest rate on stationarity indicating that interest differential is stationary ,the result also imply stationary relationship between Taiwan and USA on money policy, Using Taylor(1989) ¡As covered interest arbitrage models, The empirical results show lower positive profit opportunities on NTD or US returns, covered interest parity may hold because NTS/US exchange market after reopening becomes more efficient than market after reopening, the central bank money policy intervention is influential but we test market efficiency hypotheses on basis of Domowitz and Hakkio¡]1985¡^¡As ARCH-M model deeply employing GARCH-M¡BEGARCH models to estimate Risk Premium¡Athen employ Felmingham (2003.2) ¡As regression equation to test forward market efficiency , the empirical results shows that not only CIP¡BUIP theory fail but also Forward Market Efficiency hypotheses cannot hold ,then future spot rates could be predicted by forward rates are worthy of investigate., It may indicate that foreign securities are imperfect substitutes for domestic ones of equivalent maturity and that market participants, implying that there is arbitrage profit opportunity between Taiwan and the USA, there are many arguments to discuss whether forward rates as an unbiased predictor of future spot rate ,Forward Market efficiency give the presence of the time varying premium on different place, Ultimately, therefore, the unbiased nature of forward rates is an empirical, and not a theoretical, issue¡C
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-1224104-165805 |
| Date | 24 December 2004 |
| Creators | Hsing, Kuo |
| Contributors | Wu, Jyh-Lin, Ying-Shing Lin, David S. Shyu |
| 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-1224104-165805 |
| Rights | campus_withheld, Copyright information available at source archive |
Page generated in 0.0015 seconds