碩士 / 國立屏東商業技術學院 / 國際企業所 / 99 / According to the hypothesis of market efficiency, the forward exchange rate should fully reflect the available information. It means the forward exchange rate would be an unbiased predictor of the future spot rate, so that there are no strategies from which traders can profit consistently by speculating in the forward exchange market. The purpose of this study is to examine the relationships between spot and forward exchange rates in Taiwan by Johansen cointegration method and apply the likelihood ratio test to examine the unbiased predictor of the forward exchange rates. The investigations reveal that the result of cointegration relationships exist between spot and forward exchange rates, furthermore the forward exchange rates is an unbiased predictor of the future spot rates.
| Identifer | oai:union.ndltd.org:TW/099NPC05320004 |
| Date | January 2011 |
| Creators | Tsung-Hsin Yeh, 葉宗鑫 |
| Contributors | Tzu-Nien Liu, 劉子年 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 52 |
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